KalmanFilter.GetCovV Method

KalmanFilterGetCovV Method

Returns the variance-covariance matrix of v dividied by sigma squared.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0

Syntax

public double[,] GetCovV()

Public Function GetCovV As Double(,)

public:
array<double,2>^ GetCovV()

member GetCovV : unit -> float[,]

Type: Double
A double matrix containing a y.length by y.Length matrix such that covv * $\sigma^2$ is the variance-covariance matrix of v.