KalmanFilter Members

KalmanFilter Constructor Constructor for KalmanFilter.

LogDeterminant	Returns the natural log of the product of the nonzero eigenvalues of P where P sigma²* is the variance-covariance matrix of the observations.
Rank	Returns the rank of the variance-covariance matrix for all the observations.
SumOfSquares	Returns the generalized sum of squares.
Tolerance	The tolerance used in determining linear dependence.

Equals (inherited from Object)	Determines whether the specified Object is equal to the current Object.
Filter	Performs Kalman filtering and evaluates the likelihood function for the state-space model.
GetCovB	Returns the mean squared error matrix for `b` divided by sigma squared.
GetCovV	Returns the variance-covariance matrix of v dividied by sigma squared.
GetHashCode (inherited from Object)	Serves as a hash function for a particular type, suitable for use in hashing algorithms and data structures like a hash table.
GetPredictionError	Returns the one-step-ahead prediction error.
GetStateVector	Returns the estimated state vector at time k + 1 given the observations through time k.
GetType (inherited from Object)	Gets the Type of the current instance.
ResetQ	Removes the Q matrix.
ResetTransitionMatrix	Removes the transition matrix.
ResetUpdate	Do not perform computation of the update equations.
SetQ	Sets the Q matrix.
SetTransitionMatrix	Sets the transition matrix.
ToString (inherited from Object)	Returns a String that represents the current Object.
Update	Performs computation of the update equations.

Finalize (inherited from Object)	Allows an Object to attempt to free resources and perform other cleanup operations before the Object is reclaimed by garbage collection.
MemberwiseClone (inherited from Object)	Creates a shallow copy of the current Object.