Where is the Kalman filter in the algos file?

[rosho]

Hi

I want to see the python code of the Kalman filter.
But I cannot find it in the algos folder. I can see ARIMA, ACF, PACF but not Kalman.

Where is it?

[niketn · Accepted solution]

@rosho the predict command in Splunk uses Kalman Filter. It does not support fit and apply.

If you check out the latest MLTK release it has Smart Forecasting based on State Space Forecasting algorithm which supports creation of model with fit and apply. You can check out a short video on Smart Forecasting in Machine Learning Toolkit by Splunk

Please have a look and confirm if one of them fits your needs.

[rosho]

Does that mean that it cannot be modified to have other types of kalman filters (ex: Extended, unscented, Particle)?

[niketn]

@rosho AFAIK Kalman Filter built in Splunk is Linear. You can however, create your own implementation using MLTK Custom ML SPL API : https://docs.splunk.com/Documentation/MLApp/latest/API/Introduction

I would also recommend joining splunk-usergroups on slack and then post your queries in the #machinelearning channel. Documentation on joining Slack: https://docs.splunk.com/Documentation/Community/latest/community/Chat