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niladridas/test_Rinf.jl

Created June 20, 2018 21:00
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test_Rinf.jl
# Take a covariance matrix nxn
P = [2 1 1; 1 3 1;1 1 5]
C = eye(3,3)
R = [1 0 0; 0 2 0;0 0 300000]
K = P*C'*inv(C*P*C'+R)
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