IMSL C# Numerical Library

KalmanFilter.SetQ Method

Sets the Q matrix.

public void SetQ(
double[,] q
);

Parameters

q: A double matrix containing the b.Length by b.Length matrix such that q * $\sigma^2$ is the variance-covariance matrix of the error vector in the state equation.

Remarks

By default, there is no error term in the state equation.

See Also

KalmanFilter Class | Imsl.Stat Namespace