where PI; represents the error covariance of prediction which is
used to estimate how much we can trust the values of the current
estimated state. In this case, we assume that the first error
covariance L is set to be one which is a large number for
representing the error covariance.
Correction step: When the sensor sends data to the system, the
measurement Zk will be used to compute the observed value of
the measurement which is given by:
Zk = HXk + Vk