public KF(SSF model, DenseMatrix measCov, DenseMatrix procCov) { _model = model; _p = new DenseMatrix(_model.A.ColumnCount); _mCov = measCov; _pCov = procCov; _e = DenseMatrix.Identity(_model.A.ColumnCount); _at = new DenseMatrix(_model.A.Transpose().ToArray()); _ct = new DenseMatrix(_model.C.Transpose().ToArray()); }