Kalman is a Python library for Kalman filtering and smoothing in the case of state augmentation for the estimation of latent variables in a dynamical system.
A description and a test of the code is given in the ipython notebook "paper_NPG_2023_tandeo.ipynb".
Please contact Pierre Tandeo (pierre.tandeo@imt-atlantique.fr) in case of bugs.
This Python library is attached to the following publication (https://egusphere.copernicus.org/preprints/2022/egusphere-2022-1316/): P. Tandeo, P. Ailliot, and F. Sévellec, Data-driven Reconstruction of Partially Observed Dynamical Systems, accepted in Nonlinear Processes in Geophysics. If you use this library, please do not forget to cite our work.
Copyright © 2023 Pierre Tandeo pierre.tandeo@imt-atlantique.fr.
This program is free software: you can redistribute it and/or modify it under the terms of the GNU General Public License version 3 as published by the Free Software Foundation. See LICENCE file.