Hi everyone,
I have implemented an EKF in a power systems application. When I run a simulation in Matlab, in some iterations of the filter I get a Kalman gain matrix (K) with negative values and/or absolute values greater than 1. In some books I have read that the Kalman gain is a real value between 0 an1.
Is this correct ? Or is it an indication that something wrong with the Kalman filter?