I have two estimates of two points in space - each has a 3D position and a cigar shaped 3x3 covariance matrix and I am checking the hypothesis that these observations are actually referencing the one and same point. So I would like to calculate the agreement of the two observations with this assumption.
A search brings up Bhattacharyya distance, or Kullback–Leibler divergence as candidates. I am not looking for the most correct estimate, but rather an easy to implement function which takes two positions and two 3x3 matrices and returns a percentage or distance in standard deviations.
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