Observations

The Observations object is used to store the truth for convenience of the user. The ingredients are

1. Samples of the data Vector{Vector{Float}} or Array{Float, 2}. If provided as a 2D array, the samples must be provided as columns. They are stored internally as Vector{Vector{Float}}
2. An optional covariance matrix can be provided.
3. The names of the data in this object as a String or Vector{String}

The empirical mean is calculated automatically. If a covariance matrix is not provided, then the empirical covariance is also calculated automatically.

A simple example:

Here is a typical construction of the object:

μ = zeros(5)
Γy = rand(5, 5)
Γy = Γy' * Γy
yt = rand(MvNormal(μ, Γy), 100) # generate 100 samples
name = "zero-mean mvnormal"

true_data = Observations.Observation(yt, Γy, name)

Currently, the data is retrieved by accessing the stored variables, e.g the fifth data sample is given by truth_data.samples[5], or the covariance matrix by truth_data.cov.