algorithm - How to use Kalman Filter Theorm to calculate next event date -
i having problem statement requires if particular error/event happens on
1-jan-2017 , on 22-feb-2017, 3-april-2017, 9-july-2017 so have predict when next event gonna occur , planning try kalman filter theorm has statistical terms , on internet didn't found easy explanation or easy programming example kalman filter algorithm estimates next event dates . can explain in simple terms or parellel algorithm can used same purpose ?
let ei ith event, , let ieti = ei+1 - ei ith inter-event time, i.e., time between 1 event , next. ei+1 = ei + ieti — next event can forecast recent event based on iet.
since past determined thing random when you're projecting next event iet, e[ei+1] = ei + e[ieti] (where e[] denotes common notation expected value). don't need know distribution of iet estimate expected value, need assume iets identically distributed. (they don't need independent.) in other words, if iets identically distributed average of historical iets unbiased estimator of expected value.
there simple kalman filter estimator update estimates of average obtain new data. see equations (2) & (3) this post on math.stackexchange.
note approach gives point predictor expected value. won't allow make probability statements how next event happens before or after specified date. need distributional information iets.
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