Matlab -Kalman function-difference between the filter gain and the innovation gain

Question

In the matlab documentation for the kalman function, it is said that the function will return the L and M value, L being the filter gain and M the innovation gain. While I can understand what the innovation gain is (basically the kalman gain), I don't get what is the filter gain then. Can someone explain me the difference? here's the documentation : link. thank you in advance

Answer 1

According to the documentation, Use L if you are calculating x(k+1|k), and use M if you are calculating x(k|k).