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The Kalman filter is an algorithm for estimating the mean vector and variance-covariance matrix of the unknown state in a state space model.

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Kalman Filter prediction using different time step

Typically Kalman Filter or any other time series forecasting methods use a single step prediction - update step. For eg: Let us say I have sensor data collected at every 1ms. Let z denote measuremen …
Vikash Balasubramanian's user avatar