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kalm(1)                        Scilab Function                        kalm(1)
NAME
  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.