Scilab Function 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
Author