FilterSmooth: Kalman filter and Rauch-Tung-Striebel smoother
Description
A function that applies a filter and smoother to estimates
Usage
FilterSmooth(RawEsts, R = 0.2, Q = 0.1, Int = 100)
Value
a vector of smoothed values
Arguments
- RawEsts
a vector of estimated values
- R
variance of sampling noise
- Q
variance of random walk increments
- Int
covariance of initial uncertainty