filtTests: Filtering application example
In piotrek-orlowski/ukfRcpp: R and C++ Unscented Kalman Filter

Description Usage Arguments Details Value

These functions are provided as (1) a simple testing ground for the filter, (2) as a demo of how to write the Transition and Observation handler functions.

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testUKFclass(Nlength)

testSqrtUKFclass(Nlength)

Nlength

Integer. Length of generated sample for filtering.

The states follow an AR(1) model with correlated errors. All paramters are hard-coded in this example but can be passed in despective Rcpp::List objects. The observation equations are signed powers of the states, observed with additional correlated error. testUKFclass runs the standard-form filter. testSqrtUKFclass runs the square-root form (better numerical stability).

List with true and estimated states, and the state covariance matrices.

piotrek-orlowski/ukfRcpp documentation built on July 21, 2020, 11:51 a.m.