View source: R/util_kalmanfilter.R
This function runs a basic kalman filter and returns the predictive means and variances of both states and observations, and the filtering means and variances Prototype: state parameters = phi, sigmaV2 // observation parameter: psi, sigmaW2
1 | KF_filtering(Y, phi, psi, sigmaV2, sigmaW2, initial_mean, initial_var)
|
Add the following code to your website.
For more information on customizing the embed code, read Embedding Snippets.