Determining error of function value from state estimates

[hadron23]

Hello,

I have an observation model that generates a vector of state estimates (of the true underlying states) and a corresponding error covariance matrix.

I have a function called f(), which operates on the state estimate to return a scalar value. Note that I do not know the true state, only the estimates and the error cov. matrix. I am trying to determine the error in the scalar value returned by f() from the information provided in the error covariance matrix.

The function f() is rather messy and operates on components of the state estimate vector, thus I cannot input the matrix into this function.

Any idea how I would determine the error in the output of f() based on the error covariance matrix?

Thanks

 

[Stephen Tashi]

I suggest you explain what you are doing or give a link to an explanation of it. "Observational model" may be a meaningful term in some specialized field, but apparently it doesn't ring any bells for people on the forum familiar with the mathematical theory of probability.