: Set the initial state estimate x and initial error covariance P . Recursive Loop :

There are two primary ways to implement a Kalman Filter in MATLAB: building it from scratch (educational) or using the Control System Toolbox (professional).

end

subplot(2,1,2); plot(t, x_true_hist(2,:), 'g', 'LineWidth', 2); hold on; plot(t, x_est_hist(2,:), 'b--', 'LineWidth', 1.5); legend('True Velocity', 'Estimated Velocity'); title('Velocity Estimation (Hidden State)'); xlabel('Time (s)'); ylabel('Velocity (m/s)');