Recent content by MikeLowri123

Can anyone offer a small piece of advice or even a reference??

Hi everyone, Im running the KF to learn parameters of a model, the log likelihood of the p(Y_{k}|Y_{k-1}), however decreases. Can anyone advise, does this mean my implementation is wrong or can this just be the case. Advice appreciated Thanks

For example when removing the L term from the variance in the attached equations, can you make this out?

Hi All, I often see this term when factorizing out a matrix from brackets A(some other term)A^T where I assume A A^T represents the square within the bracket term, can someone explain the reasoning behind expressions of this kind or point me in the correct direction Many thanks

no one ??

14.63 to 14.64, should be an easy substitution but I can't get there

I am attempting to work through a derivation and the step attached requires the above mentioned to hold, any suggestions appreciated

Thanks for the quick response, Apologies however A and C are symmetric B is not does this chaneg anything

Thanks for the reply, on a second look I now have: AB^TC^-1BA=AB^TC^-1CAB^TC^-1 Which I can break down to: AB^TC^-1BA=AB^TAB^TC^-1 is there anyway I can re-order the RHS to equal the left? Thanks in advance

Hi all, I have a suspicion this may be obvious but have lookd and can't seem to obtain the correct answer, Can somone please explain the steps required to prove ABC^TA^-1=CB where C^T is the transpose of C and A^-1 the inverse of A. Matrices B and A are covariance matrices and thus...