faurre - filter computation by simple Faurre algorithm
This function computes iteratively the minimal solution of the algebraic Riccati equation and gives the matrices R and T of the filter model. The algorithm tries to compute the solution P as the growing limit of a sequence of matrices Pn such that
-1 Pn+1=F*Pn*F'+(G-F*Pn*h')*(R0-H*Pn*H') *(G'-H*Pn*F') -1 P0=G*R0 *G'
Note that this method may not converge,especially when F has poles near the unit circle. Use preferably the srfaur function.