Output updated_covariance from smoother
more on 55191758, I have a question:
- we are issuing in
oo_.Smoother.Variancethe 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_uncertaintythe 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