sskf

Scilab Function
Last update : 12/01/2004

sskf - steady-state Kalman filter

### Calling Sequence

  `[xe,pe]=sskf(y,f,h,q,r,x0)`

### Parameters

- `y` : data in form `[y0,y1,...,yn]` , `yk` a column vector
- `f` : system matrix dim(NxN)
- `h` : observations matrix dim(MxN)
- `q` : dynamics noise matrix dim(NxN)
- `r` : observations noise matrix dim(MxM)
- `x0` : initial state estimate
- `xe` : estimated state
- `pe` : steady-state error covariance

### Description

steady-state Kalman filter

### Author

C. B.