code: def check_shapes(self):
          
          assert self.covX.shape == (self.dx, self.dx), error_msg
          assert self.covY.shape == (self.dy, self.dy), error_msg
          assert self.F.shape == (self.dx, self.dx), error_msg
          assert self.G.shape == (self.dy, self.dx), error_msg
          assert self.mu0.shape == (self.dx,), error_msg
          assert self.cov0.shape == (self.dx, self.dx), error_msg
docs: Check all dimensions are correct.