I am confused with the Kalman filter.

Could you, please, explain the solution here


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.


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