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  1. K

    Updating covariance matrix when more info becomes available.

    Say, I have a solution to a 3D problem in the form of a a triple (x0,y0,z0) with uncertainty specified by an error covariance matrix S. Using these one can calculate and plot say the 1 sigma ellipsoid around this solution. Now suppose someone tells me that my solution "z=z0" is in fact...