Deterministic method to compute “Process noise covariance matrix, Q” for a Kalman filter when parameter variations of the model is known apriori

1. What is covariance matrix in Kalman filter?
2. What is process noise in Kalman filter?
3. What is covariance EKF?

What is covariance matrix in Kalman filter?

This uncertainty can be represented by a matrix known as the state covariance matrix, P. The state covariance matrix consists of the variances associated with each of the state estimates as well as the correlation between the errors in the state estimates.

What is process noise in Kalman filter?

Process Noise

Therefore, when a Kalman filter estimates the motion of an object, it must account for unknown deviations from the motion model. The term 'process noise' is used to describe the amount of deviation, or uncertainty, of the true motion of the object from the chosen motion model.

What is covariance EKF?

The extended Kalman filter (EKF) is a popular state estimation method for nonlinear dynamical models. The model error covariance matrix is often seen as a tuning pa- rameter in EKF, which is often simply postulated by the user.