The Kalman Filter is a recursive algorithm for
updating linear projections of the system comprised by of an
Observation Equation and a State Equation.
Observation Equation:
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
observations.
There is a technical manual available with details of
equations used in the model.
Kalman Version
2.3 (July 2009) Includes the following changes
Calculation engine version 1.1 which has been modified to
eliminate message "Attempting to take the derivative of
sqrt(prevariable x) at x=0" and subsequent "Run Failed" message in the
GUI.
GUI updates to eliminate a problem with the scroll bars on the
Data Observations page and to correct a "Run Failed" message in certain
situations when working with a new case.
New 'Combined' plot showing both the Filter and Smooth series on one chart.
Kalman Version
2.1 (January 2009) was upgraded from 2.0 to support Windows Vista.
