SciencesPo (version 1.02.12)

kalmanUpdate: Kalman Filter Update

Description

Replicate the Kalman Filtering Process

Usage

kalmanUpdate(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
kalmanUpdate(10, 4, 12, 4)

# Different variances and means
kalmanUpdate(10, 8, 13, 2)