Search found 4 matches

by ErikSpanberg
Tue Sep 17, 2019 5:16 am
Forum: Estimation
Topic: State Space Covariance
Replies: 4
Views: 3092

Re: State Space Covariance

I solved it and it worked perfectly, thanks for quick response.
by ErikSpanberg
Tue Sep 17, 2019 2:38 am
Forum: Estimation
Topic: State Space Covariance
Replies: 4
Views: 3092

Re: State Space Covariance

Yes, that is indeed what I want. I'll look into that. Thank you
by ErikSpanberg
Thu Sep 12, 2019 5:12 am
Forum: Estimation
Topic: State Space Covariance
Replies: 4
Views: 3092

State Space Covariance

Hello!

I have a question regarding state space output.

Let's say I have a state space object "SSOBJECT". Does SSOBJECT.@Sm_statecov produce COV(state_{t|T}) or COV(state_t, state_T)?

If it's not the latter, is there any way to get COV(state_t, state_T)?

/Erik
by ErikSpanberg
Thu Feb 08, 2018 10:52 am
Forum: Programming
Topic: Extracting gradients in optimization
Replies: 1
Views: 808

Extracting gradients in optimization

Hello! I was wondering if it is possible to extract gradients when using the command "optimize()". For example storing them in an object during the subroutine which is to be optimized. Or at least get the last numerical gradients at the end of the optimization? I have a multivariate distri...

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