Need some help to reproduce pykalman behavior on simple linear example

[GeorgePearse]

Original issue: rlabbe/filterpy#262
Created: 2021-12-16
Last updated: 2022-04-18

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I want to switch from pykalman to filterpy because the later is not maintained anymore.

I try to reproduce a basic filtering and smoothing example that I did with pykalman (original code from Anton):

linear_case_pykalman.ipynb

However, I struggle to make it work with filterpy and I do not really get why... It has to do with missing values handing I guess.

linear_case_filterpy.ipynb

Thanks in advance for the help !

[GeorgePearse]

Original comment by @Eheran1 (link)
Posted: 2022-04-05 20:51 UTC

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Page not found in both cases. Seems like they are here now. But where is the issue?

[GeorgePearse]

Original comment by @antoinecollet5 (link)
Posted: 2022-04-05 21:10 UTC

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Salut @Eheran1,

Thank you I fixed the two links.

Well, indeed, the second link relies on PR #263 which solves the issue. Here is the original notebook (using filterpy 1.4.5 from pypi). As you can see, the non handling of NaN causes problems and is not really compatible with a numpy approach.

Note that the PR has not been merged so the issue cannot be closed.