Kalman Filter

Kalman Filter (KALMAN)
GitHub release (latest by date)
Type: Solver
Author: Seaver, A.
The Kalman Filter is a recursive algorithm for updating linear projections of the system comprised by of an Observation Equation and a State Equation.

Observation Equation: yt = qtbt + vt

State Equation: bt = bt-1 - wt

The user will supply a vector of observations, coefficients of variation on observation error and scale vector (qt). The model will estimate two parameters: the state variable at time zero (b0) and the standard error on the state variable (sw). The model will return a vector of Filtered and Smoothed observations.

References
  • Meinhold, R and Meinhold, N. 1983. Understanding the Kalman Filter. The American Statistician, Vol. 37, No. 2 (May, 1983), pp. 123-127
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