Constructor for KalmanFilter.

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

Syntax

C#
public KalmanFilter(
	double[] b,
	double[,] covb,
	int rank,
	double sumOfSquaress,
	double logDeterminant
)
Visual Basic (Declaration)
Public Sub New ( _
	b As Double(), _
	covb As Double(,), _
	rank As Integer, _
	sumOfSquaress As Double, _
	logDeterminant As Double _
)
Visual C++
public:
KalmanFilter(
	array<double>^ b, 
	array<double,2>^ covb, 
	int rank, 
	double sumOfSquaress, 
	double logDeterminant
)

Parameters

b
Type: array< System..::.Double >[]()[]
A double array containing the estimated state vector.
covb
Type: array< System..::.Double ,2>[,](,)[,]
A double matrix of size b.Length by b.Length such that covb * \sigma^2 is the mean squared error matrix for b.
rank
Type: System..::.Int32
An int scalar containing the rank of the variance-covariance matrix for all the observations.
sumOfSquaress
Type: System..::.Double
A double scalar containing the generalized sum of squares.
logDeterminant
Type: System..::.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

b is the estimated state vector at time k given the observations through time k-1.

Exceptions

ExceptionCondition
System..::.ArgumentException is thrown if the dimensions of b, and covb are not consistent

See Also