Check all dimensions are correct.

def check_shapes(self):
        """
        Check all dimensions are correct.
        """
        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