CovarianceUtilities.GetCovarianceFromSigmaPoints(Matrix, Matrix) Method

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Description

Computes the covariance matrix from the provided sigma points and weights matrices.

 

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Method Signature

CovarianceUtilities.GetCovarianceFromSigmaPoints(

Matrix sigmaPoints,


Matrix weights)

 

 

Arguments

sigmaPoints


Description:

The N x 2N+1 matrix that contains the sigma point values for all quantities in the provided nominal state.

 

 

weights


Description:

The 2*N+1 x 2 matrix of weighting factors (where column 1 is the weights for the mean and column 2 is the weights for covariance).

 

 

 

Return Value

Type:

Matrix of number

 

 

Returns a covariance matrix.

 

Syntax

myMatrix1 = CovarianceUtilities.GetCovarianceFromSigmaPoints(myMatrix2, myMatrix3);

 

 

See also

CovarianceUtilities Object

CovarianceUtilities.GetCovarianceFromSigmaPoints