What is the H matrix in a kalman filter

Question

I am trying to write a kalman filter and I'm stuck on the H matrix. Right now I'm trying to get position and velocity data and I'm providing position, velocity and acceleration data. How do you set up an H matrix for this, or just in general?

Answer 1

There are 2 good articles about Kalman filter I used to understand how it works and how matrices should be set up:

• http://www.bzarg.com/p/how-a-kalman-filter-works-in-pictures/
• https://www.wikiwand.com/en/Kalman_filter#/Example_application

H matrix is the observation matrix.

It means, that if we have a simple model with variable position (x) and velocity (x') and our sensor provides us observations for positions (z), that we will have: