title: State-dependent observation covariance for Kalman Filter
body: <p>In Kalman Filtering, there is an observation model for describing the relationship between the state x_t and the observation y_t: y_t = H*x_t+r_t, with w_t~N(0,R_t). The covariance of the observation noise is generally assumed fixed.</p>
  <p>Is it possible to use a state-dependent covariance ( R_t = f(x_t) ) ? It will affects the maths behind the theory, but if it's a more accurate covariance, I guess the results should be better.</p>