How to tune a Kalman filter

This tutorial is hosted as a notebook.

See also section 3.3 in "Stochastic Differential Equation Methods for Spatio-Temporal Gaussian Process Regression", Arno Solin for how to model temporal Gaussian processes as linear statespace models, suitable for inclusion as disturbance models for Kalman filtering. Many of these Gaussian processes are demonstrated in our Disturbance gallery.