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I am working on forecasting the number of logins. I know that before using ARIMA, it is important to remove trend and seasonality. But in the case of Kalman filter, I am not sure. After all it is a filter.

Has anyone worked with Kalman filter to make forecasts?

Thanks

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From my perspective, the answer is no. In Kalman filter, there's a deterministic system for the hidden variable as well as the observed values. In other words, we don't have any control over whether this system will be stationary or not.

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