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  • #1784
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Created May 11, 2021 by Marco Ratto@rattomaDeveloper

Output updated_covariance from smoother

more on 55191758, I have a question:

  • we are issuing in oo_.Smoother.Variance the one step ahead variance of variables V(t+1|t). this is in principle a duplicate of the FilteredVariablesKStepAheadVariances, for k=1.
  • we are issuing in oo_.Smoother.State_uncertainty the smoother covariances V(t|T)
  • we are not issuing the updated covariances V(t|t): should we also provide this?

V(t|t) would be available already from matlab/missing_DiffuseKalmanSmootherH3_Z.m (P variable), while for matlab/missing_DiffuseKalmanSmootherH1_Z.m it is not (should be computed on purpose).

Edited Aug 18, 2021 by Johannes Pfeifer
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