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KalmanFilter

so_tsa::statespace

Struct KalmanFilter

pub struct KalmanFilter;

Expand description

Kalman filter implementation

Implementations§

impl KalmanFilter

pub fn new() -> Self

Create new Kalman filter

pub fn filter( &self, model: &StateSpaceModel, y: &Array1<f64>, ) -> Result<KalmanFilterResults>

Run filter on state space model

pub fn smooth( &self, model: &StateSpaceModel, results: &KalmanFilterResults, ) -> KalmanFilterResults

Run smoother on filtered results

pub fn filter_smooth( &self, model: &StateSpaceModel, y: &Array1<f64>, ) -> Result<KalmanFilterResults>

Run filter and smoother

pub fn forecast( &self, model: &StateSpaceModel, results: &KalmanFilterResults, steps: usize, ) -> (Array1<f64>, Array1<f64>)

Forecast future observations

Auto Trait Implementations§

impl Freeze for KalmanFilter

impl RefUnwindSafe for KalmanFilter

impl Send for KalmanFilter

impl Sync for KalmanFilter

impl Unpin for KalmanFilter

impl UnsafeUnpin for KalmanFilter

impl UnwindSafe for KalmanFilter

Blanket Implementations§

impl<T> Any for T
where T: 'static + ?Sized,

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