MATLAB Code Implementation for White Noise Generation and Kalman Filter Analysis

This MATLAB program generates white noise sequences and implements a discrete linear stochastic system model to produce y(k) and x(k) signals. The code compares x(k|k-1) (one-step prediction) with x(k) (actual state) through plotted curves and calculates the steady-state value of the one-step prediction error covariance matrix using Kalman filter equations.