Minimal implementation of a real-time Kalman filter for univariate data observed with irregular timesteps.
rkalman implements a special case of the Kalman filter that:
* updates the current Kalman state in real-time given new observations;
* handles irregular timesteps between observations;
* models the state equation as standard univariate Brownian motion.
The special case Kalman update and forecast equations are based on the following assumptions:
* State Equation: the state equation follows standard univariate Brownian motion;
* Transition Equation: the state transition model is described by the current state plus additive white noise.