Question about the Kalman filter?

T

Timebird2016-06-08 08:07:27

data mining

Timebird, 2016-06-08 08:07:27

Hello!
There is an array with values put into the Kalman filter. I don’t understand one thing: how to calculate the covariance matrix at the (k-1) step (forecast stage), that is, the value P_{k-1|k-1}? What do we put in it?

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