KalmanFilter.SetQ Method

KalmanFilterSetQ Method

Sets the Q matrix.

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

Syntax

public void SetQ(
	double[,] q
)

Public Sub SetQ ( 
	q As Double(,)
)

public:
void SetQ(
	array<double,2>^ q
)

member SetQ : 
        q : float[,] -> unit

q: Type: SystemDouble
A double matrix containing the b.Length by b.Length matrix such that q * $\sigma^2$ is the variance-covariance matrix of the error vector in the state equation.

Remarks

By default, there is no error term in the state equation.