Sunday, August 31, 2014

Kalman filter disappointment

I found two identical implementations for a univariate Kalman filter:

From the formulae for Kk and Pk, it seems that all this Kalman filter does is to damp the signal as Kk simply decreases with each iteration. Which is not very impressive.

I wasn't able to extract any "predictive" component from this implementation of the Kalman filter. I've decided to desist with this approach.

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