Kalman Filter - Updating the Covariance Matrix Step
Given the Covariance Matrix $ {P}_{k - 1 \mid k - 1} $ then:

$$ {P}_{k \mid k} = {F}_{k} {P}_{k - 1 \mid k - 1} {F}_{k}^{T} + {Q}_{k} $$

Where $ {F}_{k} $ is the Model Matrix at iteration $ k $ and $ {Q}_{k} $ is the Process Noise Covariance Matrix at iteration $ k $.