Repository navigation
Inaccurate wording in documentation of lqe and dlqe #1183
Description
Activity
My sense is that using the term "generalized variance" is a bit more technical detail than we need here. The standard estimation setup is to minimize the mean squared error (= trace of the covariance matrix), so I think using that wording is fine for the summary. We could add something in the notes section about the fact that this is equivalent to minimizing the trace of the covariance matrix.
Two examples of the "minimize the mean squared error" wording:
- Wikipedia entry for the Kalman filter
- FBS 2e, Theorems 8.4 (discrete) and 8.5 (continuous)
Having said that, I find the wording "expected squared error" to be a bit odd and would support just saying "mean squared error".
In the documentation of lqe and dlqe, it states:
From my understanding of theory, this is quite inaccurate/imprecise.
A better wording would be:
Source:
https://en.wikipedia.org/wiki/Generalized_variance
https://arxiv.org/pdf/2103.07275
Another wording would be that it minimizes the trace of the covariance matrix x - x_e,
but thinking in a generalized variance is more catchy.