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KalmanFilterUpdate Method
Performs computation of the update equations.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.2.0
Syntax
public void Update(
	double[] y,
	double[,] z,
	double[,] r
)

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 * \sigma^2 is the variance-covariance matrix of errors in the observation equation.
Remarks
\sigma^2 is a positive unknown scalar. Only elements in the upper triangle of r are referenced.
See Also