IMSL C# Numerical Library

KalmanFilter.Update Method

Performs computation of the update equations.

public void Update(
   double[] y,
   double[,] z,
   double[,] r
);

Parameters

y: A double array containing the observations.
z: A double matrix containing the y.Length by b.Length matrix relating the observations to the state vector in the observation equation.
r: A double matrix containing the y.Length by y.Length matrix such that r * $\sigma^2$ is the variance-covariance matrix of errors in the observation equation.

Remarks

$\sigma^2$ is a positive unknown scalar. Only elements in the upper triangle of r are referenced.

See Also

KalmanFilter Class | Imsl.Stat Namespace