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 ...
/dl/289139.html
标签：
matrix
observations
Kalman-Bucy
prediction
上传时间：
2016-04-28
上传用户：huannan88
