Description Usage Arguments Value

View source: R/kalman_filter_random_walk.R

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.

1 2 | ```
Kalman_filter_random_walk(ts, F = c(1, 1, 1, 1), R = 0.1 * diag(4),
Q = 0.1, m0 = 0, C0 = 1)
``` |

`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. |

Returns a list of the state values and covariances.

`state_values` |
The state values. |

`state_cov` |
The state covariances. |

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