Kalman smoother in python

Question

My data

1    14.7
2    14.58
3    14.82
4    14.59
5    14.67
...  ...
150  13.76

I already draw graph and upper/lower envelope line. Next, I want to apply Kalman smoother for u/l envelope line. Is there proper example about Kalman smoother??

Answer 1

Here is my implementation of kernel filter, works fine on my data. This code was written based on https://www.kalmanfilter.net/kalman1d.html I hope this helps.

def kalmanfilter(x,p,z,r):
    # p - estimate unceratininty 
    # r - measurement unceratininty ( σ2 )  
    # z - Measured System State

    # Kalman gain calculation
    K =  p/(p+r)
    # estimate current state
    x1 = x + K*(z-x)
    # update current estimate uncertainity
    p1 = (1-K)*p

    return (x1,p1)