Description Usage Arguments Value References Examples
This function implments Kalman filter to track a moving target under clutter environment with known indicators.
1 |
nobs |
the number of observations. |
ssw |
the standard deviation in the state equation. |
ssv |
the standard deviation for the observation noise. |
yy |
the data. |
ii |
the indicators. |
The function returns a list with the following components:
xhat |
the fitted location. |
shat |
the fitted speed. |
Tsay, R. and Chen, R. (2019). Nonlinear Time Series Analysis. Wiley, New Jersey.
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