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Kalman filtering k-steps ahead

Topics: Kalman Filtering
Apr 5, 2014 at 12:31 AM
Hello Mr. Benes,

I found your blog about k-steps ahead prediction using Kalman filtering. I am having troubles implementing a k-steps ahead using Kalman filter and I think you already solved this problem. So I downloaded your IRIS code. Do you still keep the k-steps ahead prediction function? I can not find it.
Please, I would really appreciate your help.
Thank you.
Best,
Paulo Victor
Apr 5, 2014 at 12:32 AM
Hi Paulo

The feature is, of course, still there. It's accessible through the option 'ahead=' in the function model/filter. You can see how it can be used in one of the tutorials -- download the Simple SPBC Model tutorial, and look into the filter_hist_data.m file.

Best,
Jaromir
Marked as answer by jaromirbenes on 5/8/2014 at 9:24 AM