[marmaduke]

This is really nice approach. We are doing some nonlinear system id, and faced with this kinda problem (not irregular spacing but low sample rate and noisy). Definitely will check it out.

What’s your opinion on ensemble KF? We’d like to use that for parameter estimations. I saw unscented in your bayesfilter, but not ensemble, so I’m curious. Thanks!

[hugohadfield]

Sounds like a fun project! I've not spent much time on ensemble KF but my mate Sam (https://github.com/samDuffield/) did a lot of work in his PhD on them for high dimensional datasets. Is your dataset specifically high dimensional and so not something you'd use an unscented filter for?

[marmaduke]

Good question, I only looked briefly at unscented, I just thought ensemble was easy to understand.