ine the state estimate. This improved estimate is termed the a posteriori state estimate.РTypically, the two phases alternate, with the prediction advancing the state until the next scheduled observation, and the update incorporating the observation. However, this is not necessary; if an observation is unavailable for some reason, the update may be skipped and multiple prediction steps performed. Likewise, if multiple independent observations are available at the same time, multiple update steps may be performed (typically with different observation matrices Hk).[14][15]Р§PredictРPredicted (a priori) state estimateРPredicted (a priori) estimate covarianceР§UpdateРInnovation or measurement residualРInnovation (or residual) covarianceРOptimal Kalman gainРUpdated (a posteriori) state estimate
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