Kalman-and-Bayesian-Filters-in-Python
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7.4 Stable Compution of the Posterior Covariance
"Given that, we can define our model to be" xk+1 = Fkxk + wkzk = Hkxk + vk should be xk+1 = Fkxk + wk zk = Hkxk + vk