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roger_
on Dec 9, 2024
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Noise Filtering Using €1 Filter (2020)
A normal EWMA filter is a special case of a Kalman filter and I bet this could be re-cast as one too. Might need an extra state or adaptive process noise though.
wyager
on Dec 9, 2024
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How is EWMA a special case of Kalman? I typically frame it in terms of laplace/Z transform, in which case it's just a 1-pole LPF
roger_
on Dec 9, 2024
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It’s actually shown in the Wikipedia article:
https://en.wikipedia.org/wiki/Kalman_filter#Details
wyager
on Dec 12, 2024
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I don't see the EWMA mentioned anywhere there?
roger_
on Dec 14, 2024
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"A more intuitive way to express the updated state estimate..."
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