Performs computation of the update equations.

Namespace: Imsl.Stat
Assembly: ImslCS (in ImslCS.dll) Version: 6.5.0.0

Syntax

C#
public void Update(
	double[] y,
	double[,] z,
	double[,] r
)
Visual Basic (Declaration)
Public Sub Update ( _
	y As Double(), _
	z As Double(,), _
	r As Double(,) _
)
Visual C++
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 * \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