Add a new measurement (z) to the Kalman filter assuming that
        process noise and measurement noise are correlated as defined in
        the `self.M` matrix.

        If z is None, nothing is changed.

        Parameters
        ----------
        z : (dim_z, 1): array_like
            measurement for this update. z can be a scalar if dim_z is 1,
            otherwise it must be convertible to a column vector.

        R : np.array, scalar, or None
            Optionally provide R to override the measurement noise for this
            one call, otherwise  self.R will be used.

        H : np.array,  or None
            Optionally provide H to override the measurement function for this
            one call, otherwise  self.H will be used.

def update_correlated(self, z, R=None, H=None):
        """ Add a new measurement (z) to the Kalman filter assuming that
        process noise and measurement noise are correlated as defined in
        the `self.M` matrix.

        If z is None, nothing is changed.

        Parameters
        ----------
        z : (dim_z, 1): array_like
            measurement for this update. z can be a scalar if dim_z is 1,
            otherwise it must be convertible to a column vector.

        R : np.array, scalar, or None
            Optionally provide R to override the measurement noise for this
            one call, otherwise  self.R will be used.

        H : np.array,  or None
            Optionally provide H to override the measurement function for this
            one call, otherwise  self.H will be used.
        """

        # set to None to force recompute
        self._log_likelihood = None
        self._likelihood = None
        self._mahalanobis = None

        if z is None:
            self.z = np.array([[None]*self.dim_z]).T
            self.x_post = self.x.copy()
            self.P_post = self.P.copy()
            self.y = zeros((self.dim_z, 1))
            return

        z = reshape_z(z, self.dim_z, self.x.ndim)

        if R is None:
            R = self.R
        elif isscalar(R):
            R = eye(self.dim_z) * R

        # rename for readability and a tiny extra bit of speed
        if H is None:
            H = self.H

        # handle special case: if z is in form [[z]] but x is not a column
        # vector dimensions will not match
        if self.x.ndim == 1 and shape(z) == (1, 1):
            z = z[0]

        if shape(z) == (): # is it scalar, e.g. z=3 or z=np.array(3)
            z = np.asarray([z])

        # y = z - Hx
        # error (residual) between measurement and prediction
        self.y = z - dot(H, self.x)

        # common subexpression for speed
        PHT = dot(self.P, H.T)

        # project system uncertainty into measurement space
        self.S = dot(H, PHT) + dot(H, self.M) + dot(self.M.T, H.T) + R
        self.SI = self.inv(self.S)

        # K = PH'inv(S)
        # map system uncertainty into kalman gain
        self.K = dot(PHT + self.M, self.SI)

        # x = x + Ky
        # predict new x with residual scaled by the kalman gain
        self.x = self.x + dot(self.K, self.y)
        self.P = self.P - dot(self.K, dot(H, self.P) + self.M.T)

        self.z = deepcopy(z)
        self.x_post = self.x.copy()
        self.P_post = self.P.copy()