Tag: Gauss-Hermite Kalman filter

R code for forecasting with the Gauss-Hermite Kalman filter

In one of my previous blog posts I showed how to implement and apply the Gauss-Hermite Kalman Filter (GHKF) in R.
In this post I will demonstrate how to predict future system states and observations with the GHKF.

Gauss-Hermite Kalman filter forecasting

Continue reading R code for forecasting with the Gauss-Hermite Kalman filter

R code for estimating the parameters of a Gauss-Hermite Kalman filter model using likelihood maximization

In one of my previous blog posts I demonstrated how to implement and apply the Gauss-Hermite Kalman Filter (GHKF) in R.
In this post I will show how to fit unknown parameters of a GHKF model by means of likelihood maximization.

Gauss-Hermite Kalman filter Lorenz system

Continue reading R code for estimating the parameters of a Gauss-Hermite Kalman filter model using likelihood maximization

R code for implementing the Gauss-Hermite Kalman filter

This blog post will demonstrate how to implement the Gauss-Hermite Kalman Filter (GHKF) in R.
Similar to the Extended Kalman Filter (EKF) and the Unscented Kalman Filter (UKF), the GHKF may be used for solving nonlinear filtering problems.

Gauss-Hermite Kalman filter

Continue reading R code for implementing the Gauss-Hermite Kalman filter