kalm

Scilab Function
Last update : 12/01/2004

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.