Description: Kalman filtering, can be seen, the filtering process is constantly " forecast- Fixed" recursive manner calculated to predict the value of the first, and then according to the new information should be observed and the kalman gain (weighted items), on predictive value of the amendment. Value can be predicted by the filter, but also can be filtered by the forecast, and its interaction filtering and prediction, does not require the storage of any observational data, real-time processing.
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kalman.m
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