KalmanFilterUpdate Method |
Performs computation of the update equations.
Namespace: Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public void Update(
double[] y,
double[,] z,
double[,] r
)
Public Sub Update (
y As Double(),
z As Double(,),
r As Double(,)
)
public:
void Update(
array<double>^ y,
array<double,2>^ z,
array<double,2>^ r
)
member Update :
y : float[] *
z : float[,] *
r : float[,] -> unit
Parameters
- y
- Type: SystemDouble
A double array containing the observations.
- z
- Type: SystemDouble
A double matrix containing the y.Length by b.Length
matrix relating the observations to the state vector in the
observation equation.
- r
- Type: SystemDouble
A double matrix containing the y.Length by y.Length
matrix such that r * is the
variance-covariance matrix of errors in the observation equation.
Remarks is a positive unknown scalar. Only
elements in the upper triangle of
r are referenced.
See Also