SciencesPo (version 0.11.21)

KFupdate: Kalman Filter Update

Description

Estimates the Kalman Filtering

Usage

KFupdate(mean1, var1, mean2, var2)

Arguments

mean1

Prior mean.

var1

Prior variance.

mean2

New mean.

var2

New variance.

encoding

UTF-8

References

Kalman, R.E. (1960) A new approach to linear filtering and prediction problems. Journal of Basic Engineering 82 (1): 35–45.

Examples

# Equal variances but different means
KFupdate(10, 4, 12, 4) 

# Different variances and means
KFupdate(10, 8, 13, 2) 
#measurements = c(5, 6, 7, 9, 10)
#motion = c(1, 1, 2, 1, 1)
#measurement_sig = 4
#motion_sig = 2
#mu = 0
#sig = 10000


#for n in range(length(measurements)){
# [mu, sig] <- update(mu, sig, measurements[n], measurement_sig)  
# return( [mu, sig])
# [mu, sig] <- predict(mu, sig, motion[n], motion_sig)
# return( [mu, sig]) }