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Questions tagged [pykalman]

A Python statistics library featuring a Kalman Filter, Kalman Smoother, and EM algorithm.

Documentation

53 questions
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Get rid of jumping GPS data with pykalman

I have gps data that I get from a smartphone application. Whenever the smartphone is stationary, the gps points are jumping. I understand that the signal is inaccurate due to the reception in a city between buildings and signal loss whenever…
tuttifolies
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Kalman FIlter in a video

How can i use Kalman filter to track the movements of a person in a video in real-time? I am new to kalman and I was experimenting with it. I have been able to run kalman and predict path of a ball in a video. Here's the code for background…
sks
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Kalman Filter (pykalman) with two measurements for the same variable

in the last days I was using pykalman to correct GPS coordinates with acceleration and velocity measurements, which is working fine. Now I would like to combine the resulting coordinates (1) with a second coordinate measurement (2) which is very…
TerenceSkill
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Kalman Filterin with changing known variance over time?

I have a simple Kalman model: y_1_t = (1 + phi) * alpha_t + e_1_t y_2_t = (1 - phi) * alpha_t + e_2_t alpha_t+1 = alpha_t + s_t Now I know the variances over time for e_1_t and e_2_t - they are not constant. Is there a python package that…
denniz
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How can we measure RMSE in Python?

I am doing an experiment using Kalman Filters. I have created a very small time series data ready with three columns formatted as follows. The full dataset is attached here for reproduciability since I can't attach a file on stackoverflow: csv…
user10553396
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Pykalman with non-square observation matrix

In the documentation of Pykalman it says that it only accepts square matrices for the observation_matrices and transition_matrices arguments. Is there a way around this? I have to estimate a state-space system with a non-square observation matrix.…
Gustavo Amarante
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EM-Algorithm with Pykalman

I am trying to implement a simpel application of the Kalman Filter using Pykalman, but I am getting an error on the estimation step of the EM-Algorithm that comes with the Pykalman package. It is a simple linear regression with time-varying…
Gustavo Amarante
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Kalman filter in R with Pykalman (Python) methodology

Good afternoon! I have a code in Python using Pykalman (https://pykalman.github.io/) where I create and I do not specify any parameters for the Kalman filter, just the number of dimensions of my observations. Initial values are initiated…
DomingoBrown
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PyKalman EM Not Working in Trivial Simulation

I am trying to use a Kalman Filter to estimate parameters, using PyKalman, I am having a problem with the transition matrix estimate. It always returns 1.0. See this trivial example: from pykalman import KalmanFilter N = 1000 a = 0.05 sims =…
The Dude
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KALMAN filter doesn't respond to changes

I am implementing a Kalman filter for the first time to get voltage values from a source. It works and it stabilizes at the source voltage value but if then the source changes the voltage the filter doesn't adapt to the new value. I use 3…
jap jap
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Kalman-filter with 100 data samples containing noise

If I have a series of observations of say 100 samples of x and y. Is this enough to predict the 101th y corresponding to a x value?Can I use some part of this data of 100 samples to update some values(Considering that noise exists and some data…
abhinav gupta
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Smoothing with Kalman filter

I'm testing Kalman library and not sure how to tweak to smooth filter: Tracking a sinusoidal movement I get state measurements including errors because of noisy measurements. Please look at Tracking image.Track In Blue, the original track. In Green,…
Guido
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Why does P covariance become non definite when doing Cholesky decomposition for unscented Kalman filters?

I am doing unscented kalman filters for estimation of position and orientation of vehicles.The cholesky decomposition works fine for 8 iterations but then gives me error that P is not positive definite. At step 8 Error using chol Matrix must be…
Nishchala
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how to use KalmanFilter and KalmanSmoother package to dynamically calculate the style and excess return of the fund

i want use the python pykalman libary to import KalmanFilter and KalmanSmoother to dynamically calculate the style and excess return of the fund this is the python code sample: import numpy as np import pandas as pd from pykalman import…
William J
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Running Kalman filter on multiple variables in Python

I would like to predict closing price ('Close') of the stock using multiple variables (Open, Low, High, Volume, Close) by plugging into the Kalman filter. However, I get error that 'The shape of all parameters is not consistent. Please re-check…
dataman
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