CovarianceUtilities.GetCovarianceFromSigmaPoints(Matrix, Matrix) Method

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Description

Computes the covariance matrix from the provided sigma points and weights matrices.

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CovarianceUtilities.GetCovarianceFromSigmaPoints(	Matrix sigmaPoints,
	Matrix weights)

sigmaPoints
Description:	The N x 2N+1 matrix that contains the sigma point values for all quantities in the provided nominal state.

weights
Description:	The 2*N+1 x 2 matrix of weighting factors (where column 1 is the weights for the mean and column 2 is the weights for covariance).

Type:

Matrix of number

Returns a covariance matrix.

myMatrix1 = CovarianceUtilities.GetCovarianceFromSigmaPoints(myMatrix2, myMatrix3);