Performs computation of the update equations.
Namespace:
Imsl.StatAssembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0
Syntax
C# |
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public void Update( double[] y, double[,] z, double[,] r ) |
Visual Basic (Declaration) |
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Public Sub Update ( _ y As Double(), _ z As Double(,), _ r As Double(,) _ ) |
Visual C++ |
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public: void Update( array<double>^ y, array<double,2>^ z, array<double,2>^ r ) |
Parameters
- y
- Type: array<
System..::.Double
>[]()[]
A double array containing the observations.
- z
- Type: array<
System..::.Double
,2>[,](,)[,]
A double matrix containing the y.Length by b.Length matrix relating the observations to the state vector in the observation equation.
- r
- Type: array<
System..::.Double
,2>[,](,)[,]
A double matrix containing the y.Length by y.Length matrix such that r * is the variance-covariance matrix of errors in the observation equation.
Remarks
is a positive unknown scalar. Only
elements in the upper triangle of r are referenced.