Name
sskf — steady-state Kalman filter
Calling Sequence
[xe,pe]=sskf(y,f,h,q,r,x0)
Parameters
- 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