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srkf             Scilab Group             Scilab Function              srkf
NAME
   srkf - square root Kalman filter
  
CALLING SEQUENCE
 [x1,p1]=srkf(y,x0,p0,f,h,q,r)
PARAMETERS
 f, 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
            
DESCRIPTION
   square root Kalman filter algorithm
  
AUTHOR
   C. B.