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https://issues.apache.org/jira/browse/MATH-1033?page=com.atlassian.jira.plugin.system.issuetabpanels:comment-tabpanel&focusedCommentId=13760024#comment-13760024
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Thomas Neidhart commented on MATH-1033:
---------------------------------------
Hmm, this looks indeed wrong as the measurement noise is supposed to be a
matrix. I can not remember again why this check has been put there but will
investigate.
> Kalman filter does not work if covarance matrix is not of dimension 1
> ---------------------------------------------------------------------
>
> Key: MATH-1033
> URL: https://issues.apache.org/jira/browse/MATH-1033
> Project: Commons Math
> Issue Type: Bug
> Affects Versions: 3.2
> Reporter: Yuan Qu
>
> In org.apache.commons.math3.filter.KalmanFilter,
> The check below doesn't look right, it reques measNoise's column dimension to
> be 1 at all time.
>
> // row dimension of R must be equal to row dimension of H
> if (measNoise.getRowDimension() !=
> measurementMatrix.getRowDimension() ||
> measNoise.getColumnDimension() != 1) {
> throw new
> MatrixDimensionMismatchException(measNoise.getRowDimension(),
>
> measNoise.getColumnDimension(),
>
> measurementMatrix.getRowDimension(), 1);
> }
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