Optimal Kalman Filter for nonscalar system estimation

Version 1.0.0.0 (1.29 KB) by Sasha Zorin
Example calculation of time dependence of system variations is presented.
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Updated 13 Sep 2007

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The example of optimal Kalman filtering is considered. Assume some nonscalar complex system to analyze usability of optimal Kalman filter for estimates obtaining. As measure of estimates presision and robustness is covariance matrix diagonal (related with system variations) time dependence.
Particular components of system provide good estimates by filtering, another not.
Conclude that effectiveness of filter usage depends on system.

Cite As

Sasha Zorin (2024). Optimal Kalman Filter for nonscalar system estimation (https://www.mathworks.com/matlabcentral/fileexchange/16348-optimal-kalman-filter-for-nonscalar-system-estimation), MATLAB Central File Exchange. Retrieved .

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Version Published Release Notes
1.0.0.0