Control matrix (B) (not used if there is no control)

posteriori error estimate covariance matrix (P(k)): P(k)=(I-K(k)*H)*P'(k)

priori error estimate covariance matrix (P'(k)): P'(k)=A*P(k-1)*At + Q)

Kalman gain matrix (K(k)): K(k)=P'(k)*Ht*inv(H*P'(k)*Ht+R)

Measurement matrix (H)

Measurement noise covariance matrix (R)

Process noise covariance matrix (Q)

Pointer to the unmanaged object

Corrected state (x(k)): x(k)=x'(k)+K(k)*(z(k)-H*x'(k))

Predicted state (x'(k)): x(k)=A*x(k-1)+B*u(k)

State transition matrix (A)