CAT arguments dimensions are not consistent.

 MM=zeros(size(m,1),size(Y,2)); % RTS Smoother
 PP=zeros(size(m,1),size(m,1),size(Y,2));
 for k= 1:size(Y,2)
     Z(k)=[m;P];
     D(k)=kf_upd(X,K,P);
     MM(:,k)=Z;
     PP(:,:,k)=D;
 end

 plot(MM,PP);

[Stelios Fanourakis]

The Error appears to the line with the script Z(k)=[m;P];

[per isakson]

Z(k) is a scalar and [m;P] is a column vector (or an array). A scalar is not consistent with a row. Maybe you intended Z(:,k). However, that is less likely because it would cause problems with MM(:,k)=Z;

[Walter Roberson]

Z appears to be growing in length for each iteration, but in the line

MM(:,k)=Z

you are assigning all of Z to a row of MM. With Z growing but MM not having its columns expanded, you are going to have problems.