KalmanFilter.LogDeterminant Property

KalmanFilterLogDeterminant Property

Returns the natural log of the product of the nonzero eigenvalues of P where P * sigma² is the variance-covariance matrix of the observations.

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

Syntax

C++

Copy

public double LogDeterminant { get; }

Public ReadOnly Property LogDeterminant As Double
	Get

public:
property double LogDeterminant {
	double get ();
}

member LogDeterminant : float with get

Property Value

Type: Double
A double scalar containing the natural log of the product of the nonzero eigenvalues of P where P * $\sigma^2$ is the variance-covariance matrix of the observations.

Remarks

In the usual case when P is nonsingular, LogDeterminant is the natural log of the determinant of P.

Reference

KalmanFilter Class

Imsl.Stat Namespace