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Extended Kalman

  1. Jan 16, 2013 #1
    Dear people,
    I want to implement the Extended Kalman Filter for identification. I have a model of the system and I want to estimate the states. My question is, how can give the Q Matrix, I mean, how can I calculate the elements of the covariance matrix related to the dispersion of the system?
    I have read that the noise of the measurement (Matrix R) depends on the resolution of the sensor used for the measurements. Is there a similar way to calculate the noise due to the system? I have read the noise of the system is withe noise, and represent the dynamics fo the states, so how can they be calculated?:confused:
    Thank you for any comment.
  2. jcsd
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