library("xplore")
library("plot")
library("kalman")
serie = read("kalman2.dat")
y = serie[,2]
mu = #(0,0)
Sig = #(0,0)~#(0,0)
H = #(1,0)'
F = #(0.5,1)~#(-0.3,0)
R = #(1,0)~#(0,0)
Q = 4
T = dim(y)
e=0.2
N=10000
eps=0.01
itmax=15
aus=4
ergLS=calibrLS(T,Sig,H,F,Q,R,e,N,eps,itmax,aus)
b=ergLS.b
res= kfilter2(y,mu,Sig, H,F,Q,R)
fx = res.filtX
fy=(H*fx')'
res= rlsfil(y,mu,Sig, H,F,Q,R,b)
frx = res.filtX
fry=(H*frx')'
origy = serie[,1]~serie[,2]
origy = setmask(origy, "line", "blue", "thin")
fy = serie[,1]~fy
fy = setmask(fy, "line", "red", "thin")
fry = serie[,1]~fry
fry = setmask(fry, "line", "green", "thin")
flags = serie[,1]~(res.clipInd)
flags=paf(flags,flags[,2]==1)
flags[,2]=0
setmaskp(flags,4, 3, 4)
disp = createdisplay(1,1)
show(disp,1,1,origy,fy,fry,flags)
setgopt(disp,1,1, "title", "KalmanData2 in Observation Space")
setgopt(disp,1,1, "xlabel", "t")
setgopt(disp,1,1, "ylabel", "y, y-rLS, y-Kalman")