sskf

sskf — steady-state Kalman filter

Calling sequence

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

`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

steady-state Kalman filter

C. B.