What should be the output of the Kalman filter?

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Timebird2016-05-22 20:40:13

Python

Timebird, 2016-05-22 20:40:13

Hello. Interested in the question of the Kalman filter.
At its input, it has a state vector consisting of n positions, which are then processed. The output is a covariance matrix.
Should this covariance matrix be multiplied by the state vector at the kth step? How to get the output schedule?

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