KalmanForecast (stats)

Could you send me a simple example of KalmanForecast (with input data) that I can run and can see how it works exactly?

There's an explanation of the Kalman Filter available at
http://www.swarthmore.edu/NatSci/echeeve1/Ref/Kalman/ScalarKalman.html
-- I've summarised it below:
The kalman filter is used to reduce the noise in an indirectly
measured signal, s, approximated by the formula -- x[t] = a*x[t-1] +
b*u[t], to which a random amount of white noise is added, making the
equation x[t] = a*x[t-1]+b*u[t] + w[t]. The white noise varies with
time, hence it's a series. Each measure of x[t] brings you closer to
the actual signal. I hope this helps... -- H

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