3 ms·
> AKA, a Kalman filter where your model is that the data is constant This feels like nuking a mosquito.
by creata 4y ago
> AKA, a Kalman filter where your model is that the data is constant
This feels like nuking a mosquito.
- jovial_cavalier 4y agoYeah, a little. I just think it's interesting. I was working on a problem with a friend, where I implemented a solution as a Kalman filter, with the models "TBD", just leaving them as constant. He implemented it in parallel as EWMA, and it was a bit of a shock to me when the behavior was identical. I did a little reading after, and there seems to be a closer relationship between the two filters than I previously had thought: https://stats.stackexchange.com/questions/16458/what-is-the-difference-between-kalman-filter-and-moving-average https://stats.stackexchange.com/questions/16458/what-is-the-...