... 15 Estimation Theory and Algorithms: From Gauss to Wiener to Kalman 15. 1 15. 2 15. 3 15. 4 15. 5 15. 6 15. 7 15. 8 15. 9 Jerry M Mendel University of Southern California 15. 1 Introduction ... Equation (15. 7), and Kw (k + 1) = P(k + 1) = P(k)h(k + 1) h (k + 1)P(k)h(k + 1) + w(k + 1) I − Kw (k + 1)h (k + 1) P(k) −1 (15. 10) (15. 11) ˆ Equations (15. 7)– (15. 9) or (15. 7), (15. 10), and (15. 11), ... (k, k − 1) (15. 27) where k = 1, 2, Observe, from (15. 26) and (15. 27), that x(0|0) and P(0|0) initialize the single-stage predictor and ˆ its error covariance, where x(0|0) = mx (0) and P(0|0)...