Authors

Seaver, A.

Description

The Kalman Filter is a recursive algorithm for updating linear projections of the system comprised by of an Observation Equation and a State Equation.

Observation Equation: y_t = q_tb_t + v_t

State Equation: b_t = b_t-1 - w_t

The user will supply a vector of observations, coefficients of variation on observation error and scale vector (q_t). The model will estimate two parameters: the state variable at time zero (b₀) and the standard error on the state variable (s_w). The model will return a vector of Filtered and Smoothed observations.

References

• Meinhold, R and Meinhold, N. 1983. Understanding the Kalman Filter. The American Statistician, Vol. 37, No. 2 (May, 1983), pp. 123-127

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Keywords

• Time Series
• Guided User Interface

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