KalmanFilter

KalmanFilter[tproc,data]
filters data using the time series model given by tproc.

DetailsDetails

  • KalmanFilter allows data to be a list or TemporalData.
  • All the parameters in the time series model tproc must be numeric.
  • KalmanFilter output is decided by the type of the input. The first element of the output is initialized to be zero, so the length of the output agrees with the length of the input.

ExamplesExamplesopen allclose all

Basic Examples  (3)Basic Examples  (3)

Find a one-step-ahead prediction using an autoregressive model:

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Find a one-step-ahead prediction using a moving-average model:

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Show path:

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Filter noise from a sample path using an ARMA model:

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Find filtered data:

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Compare the data to the prediction:

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Introduced in 2012
(9.0)