This is an example of the Kalman Filter in discrete time. We Implement the Kalman Filter to estimate
x: Constant state
w: White noise with statistical properties w~N(0,0.01)
Update: In this update The comments are fixed and presented in a better way. Also included is an html file created with the publish feature and a pdf file created in latex. Both help in the better presentation of the results.
A good complement of linear Kalman filter in Simulink: http://www.mathworks.com/matlabcentral/fileexchange/46407-linear-kalman-filter-in-simulink
You are welcome! This was part of my assignment in one of my master's classes. The title of the assignment is 'An introduction to the Kalman Filter in continuous and discrete time' which to be honest, i consider to be an excelent work for begginers, especially mathematicians. You can find it here but it's in Greek, sometime in the future maybe i'll translate and re-upload it.
and the ppt here
A good tutorial for starters, thank you for sharing!
Created better comments to the code. Also included pdf and html files with the results.