wiener — Wiener estimate
[xs,ps,xf,pf]=wiener(y,x0,p0,f,g,h,q,r)
system matrices in the interval [t0,tf]
=[f0,f1,...,ff], and fk is a nxn matrix
=[g0,g1,...,gf], and gk is a nxn matrix
=[h0,h1,...,hf], and hk is a mxn matrix
covariance matrices of dynamics and observation noise
=[q0,q1,...,qf], and qk is a nxn matrix
=[r0,r1,...,rf], and gk is a mxm matrix
initial state estimate and error variance
observations in the interval [t0,tf]. y=[y0,y1,...,yf], and yk is a column m-vector
Smoothed state estimate xs= [xs0,xs1,...,xsf], and xsk is a column n-vector
Error covariance of smoothed estimate ps=[p0,p1,...,pf], and pk is a nxn matrix
Filtered state estimate xf= [xf0,xf1,...,xff], and xfk is a column n-vector
Error covariance of filtered estimate pf=[p0,p1,...,pf], and pk is a nxn matrix