# Covariance matrices for Kalman Filter

Hi,

While going through this tutorial on real time pose estiamtion , the Linear Kalman Filter implemented in the tutorial utilizes values close to zero for setting the covariance matrices for process noise, measurement noise and error covariance.

Can someone please explain -

Isn't the main diagonal of a covariance matrix supposed to be

. since it is a relation (variance) between the same variable ?'*not close to zero*How exactly is the covariance value found ? Are we supposed to take a bunch of measurements , feed it into a software (such as excel) and then just use it ?

Thanks !