pyins.kalman

Kalman filter functions.

Module contains abstract functions for linear Kalman filter operations. Refer to [1] for the theory of Kalman filters.

Functions

compute_process_matrices(F, Q, dt)	Compute discrete process matrices for Kalman filter prediction.
correct(x, P, z, H, R)	Perform Kalman correction.

References

[1]

P. S. Maybeck, “Stochastic Models, Estimation and Control”, volume 1