Constructor for KalmanFilter.
Namespace: Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax public KalmanFilter(
double[] b,
double[,] covb,
int rank,
double sumOfSquaress,
double logDeterminant
)
Public Sub New (
b As Double(),
covb As Double(,),
rank As Integer,
sumOfSquaress As Double,
logDeterminant As Double
)
public:
KalmanFilter(
array<double>^ b,
array<double,2>^ covb,
int rank,
double sumOfSquaress,
double logDeterminant
)
new :
b : float[] *
covb : float[,] *
rank : int *
sumOfSquaress : float *
logDeterminant : float -> KalmanFilter
Parameters
- b
- Type: SystemDouble
A double array containing the estimated state vector.
- covb
- Type: SystemDouble
A double matrix of size b.Length by b.Length such
that covb * is the mean squared
error matrix for b.
- rank
- Type: SystemInt32
An int scalar containing the rank of the variance-covariance
matrix for all the observations.
- sumOfSquaress
- Type: SystemDouble
A double scalar containing the generalized sum of squares.
- logDeterminant
- Type: SystemDouble
A double scalar containing the natural log of the product of
the nonzero eigenvalues of P where P *
is the variance-covariance matrix of
the observations.
Exceptions Exception | Condition |
---|
ArgumentException |
is thrown if the dimensions of b, and covb are not
consistent
|
Remarks b is the estimated state vector at time k given the
observations through time k-1.
See Also