extended

The extended KF (EKF) and the (Rauch-Tung-Striebel) smoother.

ExtKF

The extended Kalman filter.

If everything is linear-Gaussian, this provides the exact solution to the Bayesian filtering equations.

• infl (inflation) may be specified. Default: 1.0 (i.e. none), as is optimal in the lin-Gauss case. Gets applied at each dt, with infl_per_dt := inlf**(dt), so that infl_per_unit_time == infl. Specifying it this way (per unit time) means less tuning.

ExtRTS

The extended Rauch-Tung-Striebel (or "two-pass") smoother.