# covariances in Kalman Filter

I am confused with the Kalman filter.

Could you, please, explain the solution here

https://stackoverflow.com/questions/46198246/em-algorithm-with-pykalman/58560992#58560992

In the simulations author uses $$transition \ covariance = 2$$ and $$observation \ covariance = 2$$.

The parameters $$transition \ covariance$$ and $$observation \ covariance$$ estimated by $$kf.em(Data['y'].values.astype(float))$$ are equal to 0.06 and 0.84, correspondingly, which is far from those used in the simulations.