Comments (2)
guilhermebodin
commented on September 20, 2024
2
I could help in this case, we have a fairly performant Kalman filter implemented here https://github.com/LAMPSPUC/StateSpaceModels.jl/blob/master/src/filters/univariate_kalman_filter.jl
Currently, if we have all the matrices information (we don't need to estimate any parameters) the filter states are already calculated in an "online" manner.
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joshday
commented on September 20, 2024
Yes, either that or to have an existing Kalman filter package depend on OnlineStatsBase.
I'm interested in adding it here, but I probably won't have the bandwidth to work on it anytime soon.
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Related Issues (20)
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