# Kalman Filter - Updating the Covariance Matrix Step

I am trying to simulate the Kalman Filter. I have the covariance matrix P_{0|0}. Tell me please, how can I get the predicted (a priori) estimate covariance matrix on the (k-1) step? P_{k-1|k-1}?

• Can you please share a little bit more information about what you are trying to do and more importantly what have you done so far, possibly including some code (?). That should be k+1 by the way, that is, the prediction step (in the future).
– A_A
Jun 8, 2016 at 9:10
• if you wish, I can send the code of Kalman filter to your e-mail and will be glad if you look at that. However, I need to understand only what the P_{k-1|k-1} means in that equation. How can I get that from the task conditions? Jun 8, 2016 at 9:57

Given the Covariance Matrix ${P}_{k - 1 \mid k - 1}$ then:
$${P}_{k \mid k} = {F}_{k} {P}_{k - 1 \mid k - 1} {F}_{k}^{T} + {Q}_{k}$$
Where ${F}_{k}$ is the Model Matrix at iteration $k$ and ${Q}_{k}$ is the Process Noise Covariance Matrix at iteration $k$.