The Kalman Filter is a recursive algorithm for
updating linear projections of the system comprised by of an
Observation Equation and a State Equation.
The user will supply a vector of observations, coefficients of
variation on observation error and scale vector (qt).
The model will estimate two parameters: the state variable at
time zero (b0) and the
standard error on the state variable (sw).
The model will return a vector of Filtered and Smoothed
There is a technical manual available with details of
equations used in the model.