kalm(1)

NAME
kalm - Kalman update

CALLING SEQUENCE
[x1,p1,x,p]=kalm(y,x0,p0,f,g,h,q,r)

PARAMETERS

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

DESCRIPTION
function which gives the Kalman update and error variance

AUTHOR
C. B.