KalmanFilterCombine:

Path: Common/Estimation

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   Combine forward and backward covariances and states.

   Since version 11.
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   Form:
   [xS, pS] = KalmanFilterCombine( xB, pB, xF, pF )
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   Inputs
   ------
   xB        (n,1)  Backward state
   pB        (n,n)  Backward covariance
   xF        (n,1)  Forward state
   pF        (n,n)  Forward covariance

   -------
   Outputs
   -------
   xS        (n,1)  Smoothed state
   pS        (n,n)  Smoothed covariance
   
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   References: R.G. Brown and P.Y.C. Hwang. Introduction to Random Signals
               and Applied Kalman Filtering, 2nd Edition. John Wiley and
               Sons, 1992.
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