computevar.m

Nonlinear dynamical factor analysis Matlab package

function var = computevar(nvar, ac)
% COMPUTEVAR is used by by updatevar

% Copyright (C) 2002 Harri Valpola and Antti Honkela.
%
% This package comes with ABSOLUTELY NO WARRANTY; for details
% see License.txt in the program package.  This is free software,
% and you are welcome to redistribute it under certain conditions;
% see License.txt for details.

var = nvar;
d=size(nvar,2);
for i=2:d
  var(:,i) = var(:,i) + ac(:,i).^2 .* var(:,i-1);
end