Fantastic ooglesby! That answers everything! I think the system might not be that linear as I formerly thought and I might need to try an extended Kalman filter.Many thanks again

<t>Many thx ! I work with matrices (state vector dimensions 2x1 and measurement matrix D: 40x(7:22)) and the model is built with Kalman smoothing with random initialising. Also the model does not work so well with high dimensions (22) but better with lower dimensions (7) and best with more samples (...

<t>Hi,I am working on a simple kalman filter. To know how good the filtering is done, I look at the innovations and Kalman gain. The question is : even when the Gain converges it does not converge to zero (which indicates less adjustments in the model) rather goes negative which is strange. Is this ...