fips.estimators.BayesianSolver.S_hat

property BayesianSolver.S_hat

Posterior Error Covariance Matrix with regularization.

\[\begin{split}\\hat{S} = (H^T S_z^{-1} H + S_0^{-1})^{-1} = S_0 - (H S_0)^T(H S_0 H^T + S_z)^{-1}(H S_0) = S_0 - K H S_0\end{split}\]

Note: S_z has already been scaled by the regularization factor gamma during initialization.