On 1 July 2013 19:24, Giovanni Petris <gpet...@uark.edu> wrote: > Could you send me a simple example of KalmanForecast (with input data) that I > can run and can see how it works exactly?
There's an explanation of the Kalman Filter available at http://www.swarthmore.edu/NatSci/echeeve1/Ref/Kalman/ScalarKalman.html -- I've summarised it below: The kalman filter is used to reduce the noise in an indirectly measured signal, s, approximated by the formula -- x[t] = a*x[t-1] + b*u[t], to which a random amount of white noise is added, making the equation x[t] = a*x[t-1]+b*u[t] + w[t]. The white noise varies with time, hence it's a series. Each measure of x[t] brings you closer to the actual signal. I hope this helps... -- H -- Sent from my mobile device Envoyé de mon portable ______________________________________________ R-help@r-project.org mailing list https://stat.ethz.ch/mailman/listinfo/r-help PLEASE do read the posting guide http://www.R-project.org/posting-guide.html and provide commented, minimal, self-contained, reproducible code.
