control_and_filter.py 文件源码

def predict(self, a_hist, t):
        """
        This function implements the prediction formula discussed is section 6 (1.59)
        It takes a realization for a^N, and the period in which the prediciton is formed

        Output:  E[abar | a_t, a_{t-1}, ..., a_1, a_0]
        """

        N = np.asarray(a_hist).shape[0] - 1        
        a_hist = np.asarray(a_hist).reshape(N + 1, 1)
        V = self.construct_V(N + 1)

        aux_matrix = np.zeros((N + 1, N + 1))
        aux_matrix[:(t + 1), :(t + 1)] = np.eye(t + 1)
        L = la.cholesky(V).T
        Ea_hist = la.inv(L) @ aux_matrix @ L @ a_hist

        return Ea_hist