Kalman smoother in python

Question

My data

I already draw graph and upper/lower envelope line. Next, I want to apply Kalman smoother for u/l envelope line. Is there proper example about Kalman smoother??

mmrbulbul · Accepted Answer · 2020-04-06T01:00:10.207

1

Here is my implementation of kernel filter, works fine on my data. This code was written based on https://www.kalmanfilter.net/kalman1d.html I hope this helps.

def kalmanfilter(x,p,z,r):
    # p - estimate unceratininty 
    # r - measurement unceratininty ( σ2 )  
    # z - Measured System State

    # Kalman gain calculation
    K =  p/(p+r)
    # estimate current state
    x1 = x + K*(z-x)
    # update current estimate uncertainity
    p1 = (1-K)*p

    return (x1,p1)

edited Apr 06 '20 at 01:00

answered Apr 06 '20 at 00:53

mmrbulbul

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Uncertainty is variance in this case, since it's univariate – Mad Physicist Apr 06 '20 at 01:10
Which value does input x, p, z, r at my data format? 1,2,3....=x/14.7,14.58,14.82...=y How can I find uncertainty? variance? – Gal_tab Apr 06 '20 at 01:10
@Gal_tab I would suggest you to go through the attached link or any good written tutorial to understand the parameters for your data. – mmrbulbul Apr 06 '20 at 01:19
thx for your answer – Gal_tab Apr 06 '20 at 01:39
If the answer serves your purpose can you please upvote it? @Gal_tab – mmrbulbul Apr 06 '20 at 02:11

Kalman smoother in python

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