Scilab Function
Last update : April 1993
sskf - steady-state Kalman filter
Calling Sequence
- [xe,pe]=sskf(y,f,h,q,r,x0)
Parameters
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y: data in form [y0,y1,...,yn], yk a column vector
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f: system matrix dim(NxN)
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h: observations matrix dim(MxN)
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q: dynamics noise matrix dim(NxN)
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r: observations noise matrix dim(MxM)
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x0: initial state estimate
-
xe: estimated state
-
pe: steady-state error covariance
Description
steady-state Kalman filter
Author
C. B.