the System Model:
the Observation Model:
the Assumptions:
1)Gaussian error with 0 mean and covariance matrix
2)Time independent error
3)Uncorrelation of measurement noise with dynamical noise
the state vector:
F matrix:
noise input :
Q matrix :
we denote the a prori estimate or the forward estimate by f and the posteriori estimate the analysis estimate by a
prediction :
Innovation :
Innovation Covariance :
Update