sskf

steady-state Kalman filter

Calling Sequence

[xe,pe]=sskf(y,f,h,q,r,x0)

Arguments

:y data in form [y0,y1,...,yn], yk a column vector : :f system matrix dim(NxN) : :h observations matrix dim(MxN) : :q dynamics noise matrix dim(NxN) : :r observations noise matrix dim(MxM) : :x0 initial state estimate : :xe estimated state : :pe steady-state error covariance :

Description

steady-state Kalman filter