FilterSmooth: Kalman filter and Rauch-Tung-Striebel smoother
Description
A function that applies a filter and smoother to estimates
Usage
FilterSmooth(RawEsts, R = 1, Q = 0.1, Int = 100)
Arguments
RawEsts
a vector of estimated values
R
variance of sampling noise
Q
variance of random walk increments
Int
covariance of initial uncertainty
Value
a vector of smoothed values