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Why Q in Kalman-Filter-CA-Ball is not an allmost diagonal matrix #1
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Hi ruoyu0088, But theoretically your Q is correct! As you can see, after some filter steps, the Kalman filter itself, figured it out and estimated the uncertainty (P) in the same shape as you want to define it for Q: |
Hi, I am learning kalman filter from your notebooks. I have a question for the notebook
Kalman-Filter-CA-Ball
. The covariance matrix Q in the notebook is something like this:since it's a covariance matrix, and the value between all the acceleration are 1.0, I think this means acc_x and acc_y and acc_z are not Independent. For example, the following code make some random values with an all one covariance matrix:
the output is:
All the columns are the same value.
I think x, v_x, acc_x are dependent, y, v_y, acc_y are dependent, and z, v_z, acc_z are dependent, all other pairs are Independent. So the matrix Q is something like this:
I am not sure I am right or not, just create this issue to discuss about this.
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