pykalman¶ Welcome to pykalman, the dead-simple Kalman Filter, Kalman Smoother, and EM library for Python: >>> from pykalman import KalmanFilter >>> import numpy as np >>> kf = KalmanFilter(transition_matrices = [[1, 1], [0, 1]], observation_matrices = [[0.1, 0.5], [-0.3, 0.0]]) >>> measurements = np.asarray([[1,0], [0,0], [0,1]]) # 3 observations >>> kf = kf.em(measurements, n_iter=5) >>> (filtere