Re: [Bayes++] Accuracy of Kalman filter prediction

[Nithya N. V. <nvi...@cs...>]

Thank you very much Michael. This info helps!

-Nithya


On Sat, 12 May 2007, Michael Stevens wrote:

> Date: Sat, 12 May 2007 19:23:42 +0200
> From: Michael Stevens <ma...@mi...>
> To: bay...@li...
> Subject: Re: [Bayes++] Accuracy of Kalman filter prediction
>
> Dear Nithya,
>
> On Monday 07 May 2007 18:12, Nithya Nirmal Vijayakumar wrote:
> > Hi all,
> >
> > I am using Bayes++ Covariance filter for prediction of interger/float
> > values in a sequence. From general reading, I found that Kalman filter can
> > say how good its prediction is. Can I find out how good my prediciton is
> > from the Covariance filter?
>
> The Coveriance filter is the standard implementation of the Kalman filter.
> That is it estimates the state vector (x) and a covariance matrix (X). The
> covariance is the estimate of how good the predicted/estimate state is.
>
> > I currently follow the simpleExample.cpp for
> > predict, update steps. Is there a function which I can invoke to get its
> > prediction accuracy?
>
> The simpleExample is 1D position estimator. In this case there is only a
> single element in the covariance matrix, the variance of the position
> estimate. This is printed as  along with the state estimate at each step.
>
> If you take the square root of the variance you have the standard deviation of
> the state estimate. The standard deviation is proportional to the
> uncertainity in the state. Therefore the smaller it is the more certain the
> prediction/estimate is.
>
> Michael
>
> --
> ___________________________________
> Michael Stevens Systems Engineering
>
> 34128 Kassel, Germany
> Phone/Fax: +49 561 5218038
>
> Navigation Systems, Estimation  and
>                  Bayesian Filtering
>     http://bayesclasses.sf.net
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