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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?

Thank you for any comment.

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# Extended Kalman

Can you offer guidance or do you also need help?

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