How to set noise covariance in kalman filter?

I am designing a Kalman filter for parameter estimation. If the convergence value varies depending on the noise covariance(known as Q and R), have I designed the Kalman filter incorrectly?

I apologize if this deviates slightly from the purpose of the forum.

Answer 1

[Naga]

Hi Junghyo,

I understand that you would like to know if your design for the Kalman filter is correct, given that the convergence value is changing depending on the noise covariance. The convergence value of a Kalman filter can be influenced by the noise covariance matrices, this does not imply that your filter design is incorrect.

To set noise covariance in the Kalman filter please refer to this MATLAB Answer:

https://www.mathworks.com/matlabcentral/answers/339275-how-to-set-q-and-r-in-a-kalman-filter?s_tid=ta_ans_results

To find more examples related to Kalman filter please refer to this documentation:

https://www.mathworks.com/help/control/examples.html?s_tid=CRUX_topnav

Hope this helps!