I finished the code for the cov. matrix using all the equations from Tracking Errors in AR (p. 80-82)
Here I upload some results(printscreens) from a test case:
Printscreen 1. Covariance matrix for :
is the following:
Printscreen 2. the final 3*3 Covariance matrix for:
I finished the code for the cov. matrix using all the equations from Tracking Errors in AR (p. 80-82) Here I upload some results(printscreens) from a test case: Printscreen 1. Covariance matrix for :
is the following:
Printscreen 2. the final 3*3 Covariance matrix for:
is the following: