Kalman Filters#

StandardFilter([mode])

Basic Kalman Filter

UnivariateFilter([mode])

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.

SteadyStateFilter([mode])

Kalman Filter using Steady State Covariance

KalmanSmoother([mode])

Kalman Smoother

SingleTimeseriesFilter([mode])

Kalman filter optimized for univariate timeseries

CholeskyFilter([mode])

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LinearGaussianStateSpace(name, a0, P0, c, d, ...)

Linear Gaussian Statespace distribution