R code for estimating the parameters of an unscented Kalman filter model using likelihood maximization

In one of my previous blog posts I showed how to implement and apply the Unscented Kalman Filter (UKF) in R.
In this post I will demonstrate how to fit unknown parameters of an UKF model by means of likelihood maximization.

Continue reading R code for estimating the parameters of an unscented Kalman filter model using likelihood maximization

R code for implementing the Unscented Rauch-Tung-Striebel smoother

In one of my previous blog posts I showed how to implement and apply the Unscented Kalman Filter (UKF) in R.
This blog post will demonstrate how to implement the Rauch-Tung-Striebel  (RTS) smoother for the UKF in R.

UKF smoothed

Continue reading R code for implementing the Unscented Rauch-Tung-Striebel smoother

R code for implementing the Unscented Kalman Filter

In one of my previous blog posts I showed how to implement and use the Extended Kalman Filter (EKF) in R.
This blog post will demonstrate how to implement the Unscented Kalman Filter (UKF) in R.
Similar to the Extended Kalman Filter (EKF), the Gauss-Hermite Kalman Filter (GHKF), the Particle Filter (PF), or the Ensemble Kalman Filter (EnKF), the UKF may be used when the dynamic system and/or measurement model are nonlinear.

Unscented Kalman Filter

Continue reading R code for implementing the Unscented Kalman Filter