Kalman Filter (KALMAN)

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: y_{t} = q_{t}b_{t} + v_{t}

State Equation: b_{t} = b_{t-1} - w_{t}

The user will supply a vector of observations, coefficients of variation on observation error and scale vector (q_{t}). The model will estimate two parameters: the state variable at time zero (b_{0}) and the standard error on the state variable (s_{w}). 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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