Kalman Filters#
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Basic Kalman Filter |
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The univariate kalman filter, described in [1], section 6.4.2, avoids inversion of the F matrix, as well as two matrix multiplications, at the cost of an additional loop. |
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Kalman Filter using Steady State Covariance |
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Kalman Smoother |
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Kalman filter optimized for univariate timeseries |
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Linear Gaussian Statespace distribution |