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 Mar 25 awarded Scholar Mar 25 accepted Symmetric matrix decomposition with orthonormal basis of non-eigenvectors Apr 21 comment Symmetric matrix decomposition with orthonormal basis of non-eigenvectors I tried to do all the multiplications given in the abstract formulation but this leads to exploding equations. I am thinking about some empiric approach using Octave/Matlab to get an idea of what is going on. Apr 21 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors Syntax. Apr 21 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors Title changed Apr 21 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors Syntax; more clarification. Apr 20 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors added 1 characters in body Apr 20 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors Entry in final question section added. Apr 20 awarded Supporter Apr 20 comment Symmetric matrix decomposition with orthonormal basis of non-eigenvectors @moderators: Maybe PCA or more general multivariate-analysis would be a candidate for new tag. Apr 20 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors Context related details (sensor); Using input from comments for clean up; Assumption. Apr 20 comment Symmetric matrix decomposition with orthonormal basis of non-eigenvectors I think my description was a little bit confusing after the update: $B = U_k$ while $A = H_kP_k^-H_k^t + R_a$. Now the $R_a$ part of A is diagonal but $H_kP_k^-H_k^t$ not. I will edit the question to clear things up. Apr 20 comment Symmetric matrix decomposition with orthonormal basis of non-eigenvectors $U_k$ is an error covariance matrix as well that cannot be obtained at this point in time. So it is approximated by the average of the last M steps i.e. from k-M to k-1. Apr 20 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors More info about P and R; Link to http://en.wikipedia.org/wiki/Kalman_filter Apr 20 comment Symmetric matrix decomposition with orthonormal basis of non-eigenvectors AFAIK that's all about it but I updated the question to get things more clear. Apr 20 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors added 103 characters in body Apr 20 awarded Editor Apr 20 revised Symmetric matrix decomposition with orthonormal basis of non-eigenvectors Some more info about A Apr 20 awarded Student Apr 20 asked Symmetric matrix decomposition with orthonormal basis of non-eigenvectors