Commit 6ba1c5d1 authored by Michel Juillard's avatar Michel Juillard
Browse files

adding cholH to KalmanSmootherWs

parent 99410ead
......@@ -949,6 +949,7 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
v::Matrix{T}
F::Matrix{T}
cholF::Matrix{T}
cholH::Matrix{T}
iF::Array{T}
iFv::Matrix{T}
r::Vector{T}
......@@ -983,6 +984,7 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
QQ = Matrix{T}(undef, ns, ns)
F = Matrix{T}(undef, ny, ny)
cholF = Matrix{T}(undef, ny, ny)
cholH = Matrix{T}(undef, ny, ny)
iF = Array{T}(undef, ny, ny, nobs)
v = Matrix{T}(undef, ny, nobs)
iFv = Matrix{T}(undef, ny, nobs)
......@@ -1010,7 +1012,7 @@ struct KalmanSmootherWs{T, U} <: KalmanWs{T, U}
tmp_ns_np = Matrix{T}(undef, ns, np)
tmp_ny_ny = Matrix{T}(undef, ny, ny)
new(csmall, Zsmall, iZsmall, RQ, QQ, v, F, cholF, iF,
new(csmall, Zsmall, iZsmall, RQ, QQ, v, F, cholF, cholH, iF,
iFv, r, r1, at_t, K, KDK, L, L1, N, N1, ZP, Pt_t, Kv,
iFZ, PTmp, oldP, lik, KT, D, tmp_np, tmp_ns,
tmp_ny, tmp_ns_np, tmp_ny_ny)
......
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