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.

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class torchcast.kalman_filter.KalmanFilter(processes: Sequence[torchcast.process.base.Process], measures: Optional[Sequence[str]] = None, process_covariance: Optional[torchcast.covariance.base.Covariance] = None, measure_covariance: Optional[torchcast.covariance.base.Covariance] = None)

Bases: torchcast.state_space.base.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).