sskf(1)

NAME
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(NxM)

q   : dynamics noise matrix dim(NxN)

r   : observations noise matrix dim(MxM)

xe  : estimated state

pe  : steady-state error covariance

DESCRIPTION
steady-state kalman filter

AUTHOR
C. B.