Closed mschauer closed 9 years ago
Can we check the likelihood of the Kalman filter? Kalman.jl has
ll = log(1) - 0.5log(2pi*det(S)) + 0.5log(det(S)) - 0.5*innov' * S * innov
but S is a covariance matrix, not a precision matrix, I think it should be
ll = - (dot(innov,S\innov) + logdet(S) + size(S,1)*log(2pi))/2
or
L = chol(S, :L) ll = - (norm(L\innov)^2 + 2sum(log(diag(L))) + size(S,1)*log(2pi))/2
ping @scidom
PS: I checked the rest of the Kalman filter, it is ok. I open a seperate issue for the Rauch-Tung-Striebel smoother.
Can we check the likelihood of the Kalman filter? Kalman.jl has
but S is a covariance matrix, not a precision matrix, I think it should be
or