One-day-ahead prediction

Then, the extended Kalman filter is operated by applying the predicting and filtering procedure for each day. By using Equation (2.217), the one-day-ahead prediction of the state vector on... 

With this TVAR vector model, the predicting and filtering steps for the PM lo concentrations can be performed with the Kalman filter. The essential steps of the Kalman filter are to predict and filter the measured PMio concentration alternately. When the measured PMio concentrations up to the (n - 1 )th day are available, the predicting procedure is applied to give the one-step-ahead prediction of the PMio concentration. By using Equations (2.204) and (2.205), the predicted state vector on the nth day can be estimated from the filtered state vector on the (n - l)th day ... 

---