[BUGFIX] kalman: Always initialize self.Sigma and self.x_hat (#562)

Author: rht

quantecon/kalman.py

@@ -69,11 +69,11 @@ def __init__(self, ss, x_hat=None, Sigma=None):
 
     def set_state(self, x_hat, Sigma):
         if Sigma is None:
-            Sigma = np.identity(self.ss.n)
+            self.Sigma = np.identity(self.ss.n)
         else:
             self.Sigma = np.atleast_2d(Sigma)
         if x_hat is None:
-            x_hat = np.zeros((self.ss.n, 1))
+            self.x_hat = np.zeros((self.ss.n, 1))
         else:
             self.x_hat = np.atleast_2d(x_hat)
             self.x_hat.shape = self.ss.n, 1