KalmanFilter Constructor

Constructor for KalmanFilter.

public KalmanFilter(
   double[] b,
   double[,] covb,
   int rank,
   double sumOfSquaress,
   double logDeterminant
);

b: A double array containing the estimated state vector.
covb: A double matrix of size b.Length by b.Length such that covb * $\sigma^2$ is the mean squared error matrix for b.
rank: An int scalar containing the rank of the variance-covariance matrix for all the observations.
sumOfSquaress: A double scalar containing the generalized sum of squares.
logDeterminant: A double scalar containing the natural log of the product of the nonzero eigenvalues of P where P * $\sigma^2$ is the variance-covariance matrix of the observations.

b is the estimated state vector at time k given the observations through time k-1.

Exception Type	Condition
ArgumentException	is thrown if the dimensions of `b`, and `covb` are not consistent