Algorithm 7: Compute the error covariance measurement update

$for i=1 to N_s$ $\{for j=1 to N_s$ $\left\{L_{{\sigma }_{y}L}\left[i\right]\left[j\right]={\widehat{C}}_{{\sigma }_x}\left[i\right]\ast L\left[j\right]\right\}$ $for i=1 to N_s$ $\{for j=1 to N_s$ $\left\{{\sigma }_x\left[i\right]\left[j\right]={\sigma }_x\left[i\right]\left[j\right]-L_{{\sigma }_{y}L}\left[i\right]\left[j\right]\right\}\}$