Use big sigma - Githubissues

AstroVPK / kali

A library to model a time series as a Continuous-time ARMA process

GNU General Public License v2.0

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Use big sigma #2

Closed AstroVPK closed 8 years ago

AstroVPK commented 8 years ago

We have switched the P_0 computation from solving [Kron(I) - Kron(F)]_vec(P_0) = vec(Q) to using P0 = Sigma = integral{0}^{infinity} exp(A_xi)_B_trans(B)_exp(trans(A)_xi) dxi

We store Sigma for later use in computing the acvf etc...