nag_kalman_sqrt_filt_cov_invar (g13ebc) Example Program Results Example 1 The square root of the state covariance matrix is -1.7223 0.0000 0.0000 0.0000 -2.1073 0.5467 0.0000 0.0000 -1.7649 0.1412 -0.1710 0.0000 -1.8291 0.2058 -0.1497 0.7760 The matrix AK (the product of the Kalman gain matrix with the state transition matrix) is -0.2135 1.6649 -0.2345 2.1442 -0.2147 1.7069 -0.1345 1.4777 Example 2 Covariance matrix PE from nag_kalman_sqrt_filt_cov_var (g13eac) is 1.6761 1.4744 1.2519 1.6852 1.4744 1.3646 1.1367 1.4651 1.2519 1.1367 1.0668 1.3445 1.6852 1.4651 1.3445 2.2045 Covariance matrix PF from nag_kalman_sqrt_filt_cov_invar (g13ebc) is 5.0635 -1.5512 0.0231 1.1756 -1.5512 0.8503 -0.0492 -0.3631 0.0231 -0.0492 0.0648 -0.0217 1.1756 -0.3631 -0.0217 0.3336 Matrix U' * PF * U is 1.6761 1.4744 1.2519 1.6852 1.4744 1.3646 1.1367 1.4651 1.2519 1.1367 1.0668 1.3445 1.6852 1.4651 1.3445 2.2045 The matrix KE from nag_kalman_sqrt_filt_cov_var (g13eac) is 0.3699 0.9447 0.3526 0.8199 0.2783 0.5375 0.1588 0.6704 The matrix KF from nag_kalman_sqrt_filt_cov_invar (g13ebc) is -0.5857 -1.4263 -0.0280 0.2239 0.0170 0.1200 -0.1405 -0.4519 U' * KF is 0.3699 0.9447 0.3526 0.8199 0.2783 0.5375 0.1588 0.6704