Module Filters.Kalman1d

type t
val create : signal_to_noise_ratio:float -> warmup:int -> t
val update : t -> float -> float

Update with a new observation; returns the posterior estimate of the state. During warmup Q/R are still being calibrated; the function still returns a sensible smoothed value but ready is false.

val value : t -> float
val variance : t -> float
val ready : t -> bool
val recalibrate : t -> unit

Force a Q/R recalibration from accumulated residuals — call on regime transitions.