Name

kalm — Kalman update

Calling Sequence

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

Parameters

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

Authors

C. B.