Kalman Smoother

StateSpace.kalman_smoother! — Function

kalman_smoother!(smoother, filter, sys)

Compute smoothed states $α$ and corresponding variances $V$ for a linear Gaussian State Space model with system matrices sys and Kalman filter output filter, storing the result in smoother.

Arguments

filter::KalmanFilter : Kalman filter output
sys::StateSpaceSystem : state space system matrices

Returns

smoother::Smoother : Kalman smoother output

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StateSpace.kalman_smoother_cov! — Function

kalman_smoother_cov!(smoother, filter, sys; h=1)

Compute smoothed states $α$ and corresponding variances $V$ and autocovariances $V(h)$ up until lag h for a linear Gaussian State Space model with system matrices sys and Kalman filter output filter, storing the results in smoother.

Arguments

filter::KalmanFilter : Kalman filter output
sys::StateSpaceSystem : state space system matrices
h::Integer : lag length

Returns

smoother::Smoother : Kalman smoother output

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