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Update kalman_filter_with_unknown_noise.py
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gerdm authored Jun 16, 2022
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Expand Up @@ -29,7 +29,6 @@ class LDS:
where 1/r is the observation precision. For details on this algorithm, see sec 4.5 of
"Bayesian forecasting and dynamic models", West and Harrison, 1997.
https://www2.stat.duke.edu/~mw/West&HarrisonBook/
https://bayanbox.ir/view/5561099385628144678/Bayesian-forecasting-and-dynamic-models-West-Harison.pdf
Parameters
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