I'm try to implement an Imm filter. In one step I need to perform the multivariate gaussian probability function. The problem is that the covariance matrix S of the filter has a negative determinant. My questions:
- Is it possible to have a negative determinant? The S matrix is a positive semi-definite matrix so I think it's not possible at all, right?
- If for some reason a negative determinant is found, what could I do in my filter? How to recover from a mathematical point of view?