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if your IMU is outputting roll,pitch and yaw then your covariance matrix would be a 3x3 matrix. The diagonal elements represent variance of each measurement (eg: if variance of pitch is Ypp, roll is Xrr and yaw is Zyy). Cov[0][0] = Xrr; Cov[1][1] = Ypp; Cov[2][2] = Zyy;

You can also fill out the non-diagonal elements which represent co-variance (how two variables change ). But the diagonal elements themselves should be enough for robot_pose_ekf.