• Marco Ratto's avatar
    Bug fixes in fitered variances of smoother · 55191758
    Marco Ratto authored
    - kalman_algo=1: kstep-ahead variances were WRONG, since Pf was initialized using P in PREVIOUS period
    - kalman_algo=2: output argument for filtered varainces should be P1, not P (P are UPDATED variances, there).
    For kalman_algo=2, also make a small factorization fix (compute P(:,:,t+1) before defining Pf, so to compute 1-step ahead variance only once)
missing_DiffuseKalmanSmootherH3_Z.m 16.8 KB