FilterEx

Some basic filters implemented in Elixir with Nx. Currently only Kalman, Adaptive Kalman, and exponential moving filters are implemented.

The Kalman filter is based on a port of the excellent filterpy library. It's only a partial port. Furthermore it's really only been tested on 1D, but should in theory work on higher dim Kalman's as well. PR's welcome!

Checkout @rlabbe's excellent book Kalman and Bayesian Filters in Python. The derivation of Kalman filters from Gaussians is a handy.

Installation

If available in Hex, the package can be installed by adding filter_ex to your list of dependencies in mix.exs:

def deps do
  [
    {:filter_ex, "~> 0.1.0"}
  ]
end

Documentation can be generated with ExDoc and published on HexDocs. Once published, the docs can be found at https://hexdocs.pm/filter_ex.