Interface DlmSystemTV

Time-varying system matrices for non-uniform timesteps.

interface DlmSystemTV {
    F: number[];
    G: number[][][];
    m: number;
    W: number[][][];
}

Properties

F: number[]

Observation vector [m] (row of F for p=1) — same for all steps

G: number[][][]

Per-step transition matrices G(Δt_k) — shape [n, m, m] as nested JS arrays

m: number

State dimension

W: number[][][]

Per-step noise covariances W(Δt_k) — shape [n, m, m] as nested JS arrays