Function navtk::filtering::calc_mean_cov

• Defined in File utils.hpp

Function Documentation

EstimateWithCovariance navtk::filtering::calc_mean_cov(const Matrix &samples)

Calculate the mean and covariance of a set of observations.

Parameters

samples – NxM matrix, a collection of M independent observations of N random variables.

Returns

A pair containing an N-length Vector of sample mean as first value, and NxN covariance matrix for the second.