kalman filter for dummies
} + K_{k} (z_{k} - H_{k} \hat{x}_{k|k-1}) \] Update the estimate covariance: \[ P_{k|k} = (I - K_{k} H_{k}) P_{k|k-1} \] Repeat Use the updated state and covariance as the new starting point for the next cycle. Advantages and Limitations of the Kalman Filter Adva