Interpolation between two vectors, of observation and background
----------------------------------------------------------------

Observation vector............: [10. 11. 12.]
A priori background vector....: [0. 1. 2.]

Expected theoretical state....: [5. 6. 7.]

Interpolation result..........: [5. 6. 7.]
A posteriori covariance.......:
 [[0.5 0.  0. ]
 [0.  0.5 0. ]
 [0.  0.  0.5]]