Struct KalmanFilter 

pub struct KalmanFilter<'a> {
    pub model: &'a StateSpaceModel,
}

Fields

model: &'a StateSpaceModel

Implementations

impl<'a> KalmanFilter<'a>

pub fn new(model: &'a StateSpaceModel) -> Self

pub fn filter( &self, observations: &Array1<f64>, a0: Option<Array1<f64>>, p0: Option<Array2<f64>>, ) -> Result<KalmanFilterResult>

Performs exact Forward Kalman Filtering with optional Diffuse State Initialization

pub fn smooth( &self, filter_result: &KalmanFilterResult, ) -> Result<SmootherResult>

Rauch-Tung-Striebel (RTS) Backward Smoother Pass Computes conditional state distributions given ALL observations: a_{t|N} and P_{t|N}