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 variablesV(t+1|t)
. this is in principle a duplicate of theFilteredVariablesKStepAheadVariances
, for k=1. - we are issuing in
oo_.Smoother.State_uncertainty
the smoother covariancesV(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 by Johannes Pfeifer