Vectors must be the same lengths.

for k=1:D
  P_pred   = A(:,k) * P(:,k) * A(:,k)' + Q(:,k);
  D(:,k) = P(:,k) * A(:,k)' / P_pred;
  M(:,k)   = M(:,k) + D(:,k) * (M(:,k+1) - A(:,k) * M(:,k));
  P(:,k) = P(:,k) + D(:,k) * (P(:,k+1) - P_pred) * D(:,k)';
end

 plot(D,M,P);

It does stuck at the plot function. Last line