nag_tsa_multi_kalman_sqrt_var (g13eac) Example Program Results

Example 1

The square root of the state covariance matrix is

 -1.2936   0.0000   0.0000   0.0000 
 -1.1382  -0.2579   0.0000   0.0000 
 -0.9622  -0.1529   0.2974   0.0000 
 -1.3076   0.0936   0.4508  -0.4897 

The matrix AK (the product of the Kalman gain
matrix with the state transition matrix) is

  0.3638   0.9469 
  0.3532   0.8179 
  0.2471   0.5542 
  0.1982   0.6471 


Example 2

The estimates are :  theta =   0.898, phi =   0.406