ukfMeanCov: Unscented Kalman Filter: Means and Covariances

In piotrek-orlowski/ukfRcpp: R and C++ Unscented Kalman Filter

Description

Functions for calculating means and covariances of non-linear transformations of random variables with the use of the Scaled Unscented Transformation.

Usage

unscentedMean(xSigma, unscWts)

unscentedCov(xSigma, unscWtsMean, unscWtsCov)

unscentedCrossCov(xSigma, ySigma, unscWtsMean, unscWtsCov)

Arguments

xSigma	Numeric matrix. Output from generateSigmaPoints: expanded state values.
unscWts	Numeric vector. Weights for mean calculation. First column from output of generateSigmaWeights.
unscWtsMean	as above
unscWtsCov	Numeric vector. Weights for covariance calculation. Second column from output of generateSigmaWeights.
ySigma	as above

Value

Mean vector or (variance-)covariance matrix.

piotrek-orlowski/ukfRcpp documentation built on July 21, 2020, 11:51 a.m.