   Pp: Gxn^2 Kalman filter a posteriori covariance matrices, one</span>
<span class="comment">%         matrix per row ordered by columns.</span>
<span class="comment">%        Pi: Gxn^2 Kalman filter a priori covariance matrices, one matrix</span>
<span class="comment">%            per row ordered by columns.</span>
<span class="comment">%         K: Gx(n*r) Kalman gain matrices</span>
<span class="comment">%         S: Gxr^2 Innovation matrices</span>
<span class="comment">%        ob: Gx1 Number of obser