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enter image description here My team built this linearized model in Simulink which works pretty well. I am currently building a continuous kalman filter. I assume some noise disturbance in the input and the measurement like what is in the second picture and use some Random Number blocks with a 0 mean and some variances in Simulink as some noise sources (Normally Gaussian distributed random signals). In this case, according to the definition in the 3rd picture, isn't the covariance matrix (like Q and R)just a square matrix with each component is equal to the variance of noise signal (like w and v in this case)?

Thank you. enter image description here

enter image description here

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