extended Kalman filter – R code, simulations, and modeling

R code for forecasting with the extended Kalman filter

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. extended Kalman filter forecasting Continue reading R code for forecasting with the extended Kalman filter

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

In my previous blog post I showed how to implement and use the extended Kalman filter (EKF) in R. In this post I will demonstrate how to fit unknown parameters of an EKF model by means of likelihood maximization. extended Kalman filer MLE Continue reading R code for estimating the parameters of an extended Kalman filter model using likelihood maximization

R code for implementing the extended Kalman filter

The code below implements the discrete-time extended Kalman filter (EKF) in R.

For numerical stability and precision the implemented EKF uses a Singular Value Decomposition (SVD) based square root filter. For a description of this SVD-based square root filter see Appendix B of Petris and colleagues’ 2009 book Dynamic linear models with R. Continue reading R code for implementing the extended Kalman filter