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KalmanFilter

greeners::statespace

Struct KalmanFilter 

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pub struct KalmanFilter;
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Kalman filter.

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impl KalmanFilter

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pub fn filter( model: &StateSpaceModel, y: &[Array1<f64>], ) -> Result<KalmanResult, GreenersError>

Run the Kalman filter forward pass.

  • model — state space model specification
  • y — observations, each element is a vector (can handle multivariate)

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