4 ms·

A normal EWMA filter is a special case of a Kalman filter and I bet this could be re-cast as one too. Might need an extra state or adaptive process noise though

by roger_ 2y ago

A normal EWMA filter is a special case of a Kalman filter and I bet this could be re-cast as one too. Might need an extra state or adaptive process noise though.

wyager 2y ago
How is EWMA a special case of Kalman? I typically frame it in terms of laplace/Z transform, in which case it's just a 1-pole LPF
- roger_ 2y ago
  It’s actually shown in the Wikipedia article: https://en.wikipedia.org/wiki/Kalman_filter#Details https://en.wikipedia.org/wiki/Kalman_filter#Details
  - wyager 2y ago
    I don't see the EWMA mentioned anywhere there?
    - roger_ 2y ago
      "A more intuitive way to express the updated state estimate..."