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My cursory reading would suggest they've neglected to represent the covariance matrix which is a pretty fundamental part of the filter. Have I missed something?
by hgomersall 3y ago
My cursory reading would suggest they've neglected to represent the covariance matrix which is a pretty fundamental part of the filter. Have I missed something?
- gautamcgoel 3y agoAuthor here. Yes, this filter only produces point estimates; it does not also output a confidence interval. I suspect our construction could be modified to output a covariance/confidence interval.