Function filter and tolerance for the forecast uncertainty threshold

7 visualizaciones (últimos 30 días)
Hi, I would like to better understand how does filter function regularises the forecast uncertainty matrix to avoid singularity? (
The function allows to specify the tolerance for the procedure, which if activated, applies the correction. I was wondering does it use cholesky inversion for the correction or what? I tried to look into the function but it says that is in-built and does not show the code.
I appreciate your help.

Respuestas (0)

Community Treasure Hunt

Find the treasures in MATLAB Central and discover how the community can help you!

Start Hunting!

Translated by