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Hi Lauszus,Thank you for your code it has really helped me understand how the Kalman filter works.I but i just cannot get my head over how you arrived at your estimated covariance matrix. I thoughtP = F*p*F^2 + Q, where F =[1,dt; 0,1] and Q =[dt^3/3,dt^2/2;dt^2/2,dt]*var^2But this doesnt work in practice, like when i program it. How did you arrive at you covariance estimation in step 2? What formulas did you use?thanks!