I have a localization data estimated and GPS_truth and generated [3x3] covariance matrix along with them.
What i would like to do is to see if the covariance is correct or not?
Can we check it by plotting the covariance?
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You can plot the 2 and 3 σ gates around the means to see if it visually and intuitively makes sense.
If you have access to the raw data before it was filtered, you can calculate the residuals and follow how to plot $\pm 3 \sigma$ of a landmark in EKF-SLAM