1. 07 May, 2021 1 commit
    • Marco Ratto's avatar
      Bug fixes in fitered variances of smoother · 55191758
      Marco Ratto authored and Sébastien Villemot's avatar Sébastien Villemot committed
      - 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)
      55191758
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