prediction in the future.

[andrewcztrack]

Hi @sbarratt !

How would i use the model to say predict 10 steps in the future.

Or does pykalman not have a prediction function.

Best, Andrew

[sbarratt]

Andrew,

Yes you can. First run the Kalman smoother to get an estimate of x_t. Then your prediction, in fact, the conditional mean of y_{t+1},...,y_{t+10} given the past is

y_{t+1} = CAx_t y_{t+2} = CA^2 x_t ... y_{t+10} = CA^{10} x_t

On Sat, Oct 3, 2020 at 12:52 AM andrewcztrack [email protected] wrote:

Hi @sbarratt https://github.com/sbarratt !

How would i use the model to say predict 10 steps in the future.

Or does pykalman not have a prediction function.

Best, Andrew

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