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Implementation of a Kalman Filter and example based on:

Run the code and send the output to out.dat: kalman_filter_cannonball.exe > out.dat

In gnuplot, the output can be plotted with: plot 'out.dat' using 1:2 w lines, 'out.dat' using 3:4 w lines, 'out.dat' using 5:6 w lines

Other resources used: