Kalman Filter For Beginners With Matlab Examples Phil Kim Pdf __link__

The book walks through:

% Measurement update step K = P_pred * H' / (H * P_pred * H' + R); x_est(:, i) = x_pred + K * (z(i) - H * x_pred); P_est(:, :, i) = (eye(2) - K * H) * P_pred; end The book walks through: % Measurement update step