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kalm — Kalman update
[x1,p1,x,p]=kalm(y,x0,p0,f,g,h,q,r)
| 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 |
function which gives the Kalman update and error variance
C. B.
| << jmat | lattn >> |