title: Which behaviour should I expect of the extended KALMAN FILTER covariance?
body: <p>I have an extended kalman filter setting, which converges to the reference value pretty well. However, if i check the covariance matrix I cannot see a fast trend to a certain value of the diagonal elements (3x3), which is actually what I expected.</p>
  
  <p>How should the covariance matrix behave? Can somebody give me a hint on that?</p>