1 kalman_filter

filters.kalman_filter(
    m_0,
    P_0,
    M,
    PHI,
    sigma2_eta,
    sigma2_eps,
    zs_tree,
    sigma2_eta_dim,
    sigma2_eps_dim,
    forecast=0,
    likelihood='partial',
)

The standard Kalman Filter.

1.1 Parameters

Name	Type	Description	Default
m_0	ArrayLike	Prior mean of the filter at the 0 time point.	required

1.2 Returns

Name	Type	Description
	A namedtuple containing the results of the filter.