From: Iterative unbiased FIR state estimation: a review of algorithms
Stage
Given:
K, n⩾K.
Set:
x ̂ K − 1 by (69) and G K−1 by (70) for m=0.
Update:
G n = [ H n T H n + ( F n G n − 1 F n T ) − 1 ] − 1 ,
x ̂ n = F n x ̂ n − 1 + G n H n T ( z n − H n F n x ̂ n − 1 ).