lindquist - Lindquist's algorithm
: number of iterations.
- H, F, G
: estimated triple from the covariance sequence of y.
: solution of the Riccati equation after n iterations.
- R, T
: gain matrices of the filter.
computes iteratively the minimal solution of the algebraic
Riccati equation and gives the matrices R and T of the
filter model, by the Lindquist's algorithm.