To use a Kalman Filter, you need a state-space model of the system you are observing and not of the noise itself. However, the statistical properties of the noise like its covariance are inputs to the Kalman filter design.
You can refer to the MATLAB documentation below for more details:
- Linear kalman filtering: https://www.mathworks.com/help/fusion/ref/trackingkf.html
For a detailed understanding, you can also refer to the below example:
I hope this resolves your query
