Kalman_filter_random_walk: Kalman filter applied to multivariate random walk.

In hannea/monitor: Vibration signal monitor for wind turbines

Description

Function that applies the Kalman filter to four observations assuming the state is a univariate random walk. The observation and state equations are \bm{y}_t = Fx_t + \bm{v}_t and x_t = x_{t-1} + w_t, respectively.

Usage

Kalman_filter_random_walk(ts, F = c(1, 1, 1, 1), R = 0.1 * diag(4),
  Q = 0.1, m0 = 0, C0 = 1)

Arguments

ts	A matrix containing the data from a multivariate time series.
R	The covariance of the measurement noise.
Q	The covariance of the state noise.
m0	Initial state.
C0	Initial covariance of the state process.

Value

Returns a list of the state values and covariances.

state_values	The state values.
state_cov	The state covariances.

hannea/monitor documentation built on May 17, 2019, 2:28 p.m.