kalm

Kalman update

Calling Sequence

[x1,p1,x,p]=kalm(y,x0,p0,f,g,h,q,r)

Arguments

:f,g,h current system matrices : :q, r covariance matrices of dynamics and observation noise : :x0,p0 state estimate and error variance at t=0 based on data up to

t=-1

: :y current observation Output from the function is: : :x1,p1 updated estimate and error covariance at t=1 based on data up

to t=0

: :x updated estimate and error covariance at t=0 based on data up to

t=0

:

Description

function which gives the Kalman update and error variance