calc_innovation! fails with broadcast errors for mxn H matrix

[zagglez]

Following: https://www.kalmanfilter.net/multiExamples.html - 6 states, 2 measurements.

H = [ 1 0 0 0 0 0
0 0 0 1 0 0 ]
ie, a 2x6 matrix.

OK so with the normal linear KF, everything works fine.

However, the inplace version of calc_innovation, ie calc_innovation! errors with:
DimensionMismatch("cannot broadcast array to have fewer non-singleton dimensions")

[zsoerenm]

Could you provide a minimum working example?

[zsoerenm]

I have made some changes. So this might work now.
I will close this. Feel free to re-open the issue, if it doesn't work for you.