commons-dev mailing list archives

Site index · List index
Message view « Date » · « Thread »
Top « Date » · « Thread »
From Daniel Winterstein <>
Subject [Math] Proposal: Add smoothing and fitting to the Kalman Filter
Date Mon, 16 May 2016 13:40:06 GMT

I was doing some work with Kalman Filters recently, and I noticed the
implementation in commons.math is missing a couple of features, namely
smoothing and model-fitting.

Would it be good to add these?

A little bit more on the model and the proposed features:
The Kalman Filter is a model for time-series data.
The version in commons.maths can do prediction (i.e. given the state
now, predict the next state).
The algorithm can also do smoothing (given a sequence of data, perhaps
with gaps, estimate the most likely state at each step) -- but this
version doesn't have an implementation.
Also, given a time-series dataset, you can fit a Kalman Filter. There
isn't a precise solution, but using expectation maximisation works

I am new to the Apache Commons mailing list -- please forgive me if
this is the wrong way to go about things.

Kind regards,
 - Daniel

Dr Daniel Winterstein
Edinburgh            +44 (0)772 5172 612

To unsubscribe, e-mail:
For additional commands, e-mail:

View raw message