sskf - steady-state Kalman filter

Calling Sequence

[xe,pe]=sskf(y,f,h,q,r,x0)

Parameters

• y : data in form [y0,y1,...,yn], yk a column vector
• f : system matrix dim(NxN)
• h : observations matrix dim(MxN)
• q : dynamics noise matrix dim(NxN)
• r : observations noise matrix dim(MxM)
• x0 : initial state estimate
• xe : estimated state
• pe : steady-state error covariance

Description

steady-state Kalman filter

Author

C. B.