In my previous blog post I demonstrated how to implement and use the extended Kalman filter (EKF) in R. In this post I will show how to predict future system states and observations with the EKF. Continue reading R code for forecasting with the extended Kalman filter
The following R code may be used for estimating the position (and velocity) of a moving object by means of the Kalman filter.
The R code uses the Kalman filter implemented in the dlm package. Continue reading R code for estimating the position of a moving object using the Kalman filter