nag_tsa_kalman_sqrt_filt_info_var (g13ecc) Example Program Results

The inverse of the square root of the state covariance matrix is

  0.6897   0.7721   0.7079   0.6102 
  0.0000  -0.3363  -0.2252  -0.2642 
  0.0000   0.0000  -0.1650   0.0319 
  0.0000   0.0000   0.0000   0.3708 

The components of the estimated filtered state are

k       x(k)  
0     -0.7125  
1     -1.8324  
2      1.7500  
3      1.5854