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How to estimate and determine the confidence level of the presence of an object with respect to another object?

I'm working on a university project to estimate the confidence (And therefore, the change in confidence) of the presence an area of given dimensions with respect to positions obtained from a moving ...
0
votes
0answers
154 views

Kalman Filter with MLE giving bad estimates

I am trying to learn and implement the Kalman filter. Yesterday I successfully implemented a non linear kalman filter of the form: $$ x_t = a(x_{t-1}) + u_t \\ y_t = Gy_{t-1} + v_t $$ $u_t$ and $v_t$...
12
votes
2answers
17k views

How to use a Kalman filter?

I have a trajectory of an object in a 2D space (a surface). The trajectory is given as a sequence of (x,y) coordinates. I know that my measurements are noisy and ...
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votes
0answers
2k views

Implementing the Bayesian Information Criterion (BIC) Using PyKalman

I'm trying to use pykalman to do a Kalman filter on financial data and it seems to be generally working very well. However, when I attempt to extend the code using BIC $\mathrm{BIC} = {-2 \cdot \ln{\...
3
votes
2answers
3k views

Kalman Filter Expectation Maximization

I'm not very familiar with the EM algorithm for the Kalman Filter. I've been using pykalman to do my analysis in Python. The package comes with a simple EM algo: ...
4
votes
2answers
5k views

Kalman filter with control inputs in python? [closed]

i am trying to fit a simple kalman filter with input controls (in this case step input) in python. i am using filterpy (http://filterpy.readthedocs.org/). my code is: ...
0
votes
0answers
144 views

linearity of a time series

I am currently trying to correct forecast data using Kalman filter (python). I do not know where to start. I wanted to know how can I do a test to Know if my time series is linear or non linear? Is ...
1
vote
0answers
344 views

forecast improvement using Kalman FIlter clearing [closed]

I have been facing a wall after doing a forecast of wind speed time series data using ARIMA with python. I have result with a nrmse growth going from 2% to 15% and now what I want is to use kalman ...
0
votes
2answers
2k views

Cholesky decomposition in error covariance [closed]

I try to implement Unscented Kalman Filter. Everything seems to be done correctly but I do receive an error about Cholesky decomposition ...