KalmanFilter:
Kalman filter and Rauch-Tung-Striebel smoother
Description
Kalman filter to predict new points and smoother for time-series.
Usage
KalmanFilter(RawEsts, R = 1, Q = 0.1, Int = 100)
Arguments
RawEsts
Vector of numeric values to be filtered and smoothed.
R
Variance of sampling noise
Q
Variance of random walk increments
Int
Covariance of initial uncertainty