CovarianceUtilities.GetCovarianceFromSigmaPoints Method

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Description

Computes the covariance matrix from the provided sigma points and weights matrices. The sigma points matrix must have the dimensions of N x 2N+1, where N is the number of states, and each column of the matrix is a sigma point state. The weights matrix is 2N + 1 x 2, where column 1 is the mean weights and column 2 is the covariance weights.

 

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Overload List

Signatures

Return Value

Description

CovarianceUtilities.GetCovarianceFromSigmaPoints(Matrix sigmaPoints, Matrix weights)

Matrix

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

CovarianceUtilities.GetCovarianceFromSigmaPoints(Matrix sigmaPoints, Variable alpha, Variable beta, Variable kappa)

Matrix

Computes the covariance matrix from the provided sigma points matrix and Alpha, Beta and Kappa values.

 

 

See also

CovarianceUtilities Object