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Order of state vector in Kalman Filter example docs/notebook incorrect #357

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billtubbs opened this issue Feb 9, 2024 · 1 comment
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@billtubbs
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Hi, great library, thanks.

I think there might be an error in the documentation on the following page:

It describes the state vector as follows:

$$\begin{align*} \underbrace{\begin{pmatrix} u_t\\ \dot{u}_t \\ v_t \\ \dot{v}_t \end{pmatrix}}_{z_t} = \underbrace{ \begin{pmatrix} 1 & 0 & \Delta & 0 \\\ 0 & 1 & 0 & \Delta\\\ 0 & 0 & 1 & 0 \\\ 0 & 0 & 0 & 1 \end{pmatrix} }_{F} \underbrace{\begin{pmatrix} u_{t-1} \\ \dot{u}_{t-1} \\ v_{t-1} \\ \dot{v}_{t-1} \end{pmatrix}}_{z_{t-1}} + q_t \end{align*}$$

(This equation is also in the example notebook).

Based on this state transition matrix, I think the order of the states should be:

$$\begin{pmatrix} u_t\\ v_t \\ \dot{u}_t \\ \dot{v}_t \end{pmatrix}$$
@gileshd
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gileshd commented Feb 24, 2024

Thanks for identifying this @billtubbs! It's now been closed in #354.

@gileshd gileshd closed this as completed Mar 3, 2024
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