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], measure_covariance: Covariance | None = None, process_covariance: Covariance | None = None, initial_covariance: Covariance | None = None, measure_funs: dict[str, str] | None = None, adaptive_scaling: bool = False)¶

Bases: StateSpaceModel