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 show how to predict future system states and observations with the UKF.
Continue reading R code for forecasting with the unscented Kalman filter
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.
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.
Continue reading R code for implementing the Unscented Rauch-Tung-Striebel smoother
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.
Continue reading R code for implementing the Unscented Kalman Filter