srkf(1)

NAME
srkf - square root Kalman filter

CALLING SEQUENCE
[x1,p1]=srkf(y,x0,p0,f,h,q,r)

PARAMETERS

f, 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

DESCRIPTION
square root Kalman filter algorithm

AUTHOR
C. B.