Description Usage Arguments Value
Implements Kalman smoothing and is used along with Kalman filter. Kalman filter outputs enter Kalman smoother as inputs.
1 | K_smoother(A, xitt, xittm, Ptt, Pttm, C, R, W)
|
A |
State space matrix |
xitt |
State space variable |
xittm |
Predicted state space variable |
Ptt |
State space covariance |
Pttm |
Predicted state space covariance |
C |
System matrix |
R |
State space covariance |
W |
Logical matrix (T x n) indicating missing data. TRUE if observation is present, FALSE if it is missing. |
Smoothed state space variable and state space covariance matrix
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