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fix notes on diffuse filter
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MichelJuillard committed Dec 16, 2022
1 parent 34e9152 commit c31ac80
Showing 1 changed file with 5 additions and 4 deletions.
9 changes: 5 additions & 4 deletions doc/notes.tex
Original file line number Diff line number Diff line change
Expand Up @@ -57,12 +57,12 @@ \section{Diffuse filter}
When $F^{-1}_{\infty,t} = \mathbf{0}$
\begin{align*}
K^{(0)}_t &= T_tM_{\star,t}F^{-1}_{\star,t}& \mbox{(DK2012 5.15)}\\
L^{(0}_t &= T_t - K^{(0)}_tZ_t & \mbox{(DK2012 5.12)}\\
L^{(1}_t &= - K^{(1)}_tZ_t & \mbox{(DK2012 5.12)}\\
L^{(0)}_t &= T_t - K^{(0)}_tZ_t & \mbox{(DK2012 5.12)}\\
L^{(1)}_t &= - K^{(1)}_tZ_t & \mbox{(DK2012 5.12)}\\
a^{(0)}_{t|t} &= a^{(0)}_t + M_{\star,t}F^{-1}_{\star,t}\nu^{(0)}_t\\
P_{\infty,t|t} &= P_{\infty,t} \\
P_{\star,t|t} &= P_{\star,t} - P_{\star,t}Z'_t
F^{-1}_{\star,t}Z_t \\
F^{-1}_{\star,t}Z_t P_{\star,t}\\
a^{(0)}_{t+1} &= T_ta^{(0)}_t + K^{(0)}_t\nu^{(0)}_t & \mbox{(DK2012
p. 129)}\\
P_{\infty,t+ 1} &= T_tP_{\infty,t}T'_t & \mbox{(DK2012 5.14)}\\
Expand All @@ -85,7 +85,8 @@ \section{Diffuse filter}
When $F^{-1}_{\infty,t}$ is regular
\begin{align*}
\tilde K_{\infty,t} &= F^{-1}_{\infty,t}(ZP_{\infty,t}) \\
\tilde K_{\star,t} &= F^{-1}_{\infty,t}((ZP_{\star,t}) - F_{\star,t}K_{\infty,t}) \\
\tilde K_{\star,t} &= F^{-1}_{\infty,t}((ZP_{\star,t}) -
F_{\star,t}\tilde K_{\infty,t}) \\
a_{t|t} &= a_t + \tilde K_{\infty,t}'\nu_t\\
P_{\infty,t|t} &= P_{\infty,t} - \tilde K'_{\infty,t}(ZP_{\infty,t}) \\
P_{\star,t|t} &= P_{\star,t} - \tilde K_{\infty,t}'ZP_{\star,t}
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