The extraordinary growth of the World Wide Web has been fueled by the ability it gives authors to easily and cheaply distribute electronic documents to an international audience. As Web documents have become larger and more complex, however, Web content providers have begun to experience the limitat ...
runs Kalman-Bucy filter over observations matrix Z
for 1-step prediction onto matrix X (X can = Z)
with model order p
V = initial covariance of observation sequence noise
returns model parameter estimation sequence A,
sequence of predicted outcomes y_pred
and error matrix Ey (reshaped) for y and Ea ...
