The project aims to construct the code for a switching Kalman filter, smoother and and an EM algorithm for the parameter fitting. All the main functions for filtering, smoothing and for the EM algorithm will be contained in the python script skf_library.py. The other scripts will contain loops that run those fuctions iteratively on data.
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BalzaniEdoardo/SKF
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The project aims to construct the code for a switching Kalman filter, smoother and and an EM algorithm for the parameter fitting.
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