nag_tsa_kalman_sqrt_filt_info_invar (g13edc) Example Program Results

Example 1

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

 -0.8731  -1.1461  -1.0260  -0.8901 
  0.0000  -0.2763  -0.1929  -0.3763 
  0.0000   0.0000  -0.1110  -0.1051 
  0.0000   0.0000   0.0000   0.3120 

The components of the estimated filtered state are

   k       x(k)  
   0     -2.0688  
   1     -0.7814  
   2      2.2181  
   3      0.9298  


Example 2

Results from nag_tsa_kalman_sqrt_filt_info_var (g13ecc) 

The information matrix ig is
 
  0.4661   0.5290   0.4826   0.4134 
  0.5290   0.7196   0.6158   0.5657 
  0.4826   0.6158   0.5781   0.4776 
  0.4134   0.5657   0.4776   0.5825 

The components of the estimated filtered state are

  k       x(k)  
  0    -0.8369 
  1    -1.4649 
  2     1.4877 
  3     1.5276 

Results from nag_tsa_kalman_sqrt_filt_info_invar (g13edc) 

The information matrix ih is
 
  0.0399  -0.0805  -0.0137  -0.0174 
 -0.0805   2.1143   0.2453   0.0406 
 -0.0137   0.2453   0.0770  -0.0294 
 -0.0174   0.0406  -0.0294   0.1151 

The matrix u' * ih * u is
 
  0.4661   0.5290   0.4826   0.4134 
  0.5290   0.7196   0.6158   0.5657 
  0.4826   0.6158   0.5781   0.4776 
  0.4134   0.5657   0.4776   0.5825 

The components of the estimated filtered state are 

  k       x(k)  
  0    -0.8369 
  1    -1.4649 
  2     1.4877 
  3     1.5276