Kalman Filter¶

The KalmanFilter is a torch.nn.Module which generates forecasts using the full kalman-filtering algorithm.

This class inherits most of its methods from torchcast.state_space.StateSpaceModel.

class torchcast.kalman_filter.kalman_filter.KalmanFilter(processes: Sequence[Process], measures: Sequence[str] | None = None, process_covariance: Covariance | None = None, measure_covariance: Covariance | None = None, initial_covariance: Covariance | None = None, **kwargs)¶

Bases: StateSpaceModel

Uses the full kalman-filtering algorithm for generating forecasts.

Parameters:

• processes – A list of Process modules.

• measures – A list of strings specifying the names of the dimensions of the time-series being measured.

• process_covariance – A module created with Covariance.from_processes(processes).

• measure_covariance – A module created with Covariance.from_measures(measures).