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Leave open: Will add a corresponding test soon. |
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@cc7768 I'm accepting the PR so that the correction can be merged immediately but I'll add an issue stating that we need a test. Thanks for finding the error and handling this. |
jstac
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Sep 28, 2015
Fix P update in stationary coefficients.
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Sounds good. |
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In the stationary coefficients for Kalman filter, update was being done with
but this gives us P, P^2, P^4... instead of P, P^2, P^3...
Opening PR so John can make it prettier if he would like.