Added fixed lag section.

code/smoothing_internal.py

@@ -0,0 +1,57 @@
+# -*- coding: utf-8 -*-
+"""
+Created on Tue May 27 21:21:19 2014
+
+@author: rlabbe
+"""
+from filterpy.kalman import UnscentedKalmanFilter as UKF
+from filterpy.kalman import MerweScaledSigmaPoints
+import matplotlib.pyplot as plt
+from matplotlib.patches import Ellipse,Arrow
+import math
+import numpy as np
+import stats
+from stats import plot_covariance_ellipse
+
+
+def show_fixed_lag_numberline():
+    fig = plt.figure()
+    ax = fig.add_subplot(111)
+    ax.set_xlim(0,10)
+    ax.set_ylim(0,10)
+
+    # draw lines
+    xmin = 1
+    xmax = 9
+    y = 5
+    height = 1
+
+    plt.hlines(y, xmin, xmax)
+    plt.vlines(xmin, y - height / 2., y + height / 2.)
+    plt.vlines(4.5, y - height / 2., y + height / 2.)
+    plt.vlines(6, y - height / 2., y + height / 2.)
+    plt.vlines(xmax, y - height / 2., y + height / 2.)
+    plt.vlines(xmax-1, y - height / 2., y + height / 2.)
+
+    # add numbers
+    plt.text(xmin, y-1.1, '$x_0$', fontsize=20, horizontalalignment='center')
+    plt.text(xmax, y-1.1, '$x_k$', fontsize=20, horizontalalignment='center')
+    plt.text(xmax-1, y-1.1, '$x_{k-1}$', fontsize=20, horizontalalignment='center')
+    plt.text(4.5, y-1.1, '$x_{k-N+1}$', fontsize=20, horizontalalignment='center')
+    plt.text(6, y-1.1, '$x_{k-N+2}$', fontsize=20, horizontalalignment='center')
+    plt.text(2.7, y-1.1, '.....', fontsize=20, horizontalalignment='center')
+    plt.text(7.2, y-1.1, '.....', fontsize=20, horizontalalignment='center')
+
+    plt.axis('off')
+    plt.show()
+
+if __name__ == '__main__':
+
+    #show_2d_transform()
+    #show_sigma_selections()
+
+    show_sigma_transform(True)
+    #show_four_gps()
+    #show_sigma_transform()
+    #show_sigma_selections()
+