Optimal filtering and Kalman filtering using MATLAB

The aim of this paper is to illustrate the ease with which data recorded from a complex nonlinear system can be processed using the MATLAB package, employing sophisticated state-space filtering methods. No new theory is presented, but to aid the reader the MATLAB code is provided which can be used for any application, as well as to illustrate the example shown, in a manner amenable to most practicing engineers. The example is based upon an aircraft engine, and shows data collected from flight and the linear system upon which the filter characteristics depend