Function navtk::calc_cov_weighted

• Defined in File linear_algebra.hpp

Function Documentation

Matrix navtk::calc_cov_weighted(const Matrix &matrix, const Vector &weights)

Calculate the weighted covariance of a NxK matrix, where K is the number of samples and N the number of states.

Parameters

• matrix – A square matrix (NxN).

• weights – A vector of sample weights.

Returns

Weighted covariance.