kallman.js

function Kallman(config) {
    if (!(this instanceof Kallman)) {
        return new Kallman(config);
    }
    for(var k in config) {
        if (config.hasOwnProperty(k)) {
            this[k] = config[k];
        }
    }
    this.steps = 1;
    this.err = this.sigmaModel;
    return this;
}
Kallman.prototype = {
    x: 0,
    sigmaModel: 1,
    sigmaSensor: 1,
    ajdustSigma: false,
    window: 200,
    steps: null,
    err: null,
    model: function() {
        return 0;
    },
    push: function(z) {
        var pow = Math.pow,
            min = Math.min;
        this.err = 1 - pow(this.sigmaModel, 2) / (pow(this.err, 2) + this.sigmaModel + this.sigmaSensor);
        var K = pow(this.err, 2) / this.sigmaModel;
        this.x = z * K + (this.x + this.model()) * (1 - K);
        if (this.adjustSigma) {
            var steps = min(this.window, this.steps);
            this.sigmaSensor = (this.sigmaSensor * steps + pow(this.x - z, 2)) / (steps + 1);
        }
        this.steps++;
        return this.x;
    }
};
var k = Kallman({x: 0, adjustSigma: true}),
    a = [];
for(var i = 0; i < 100; i++) {
    var z = i + (Math.random() * 10 - 5);
    a.push([i, k.push(z)]);
}
console.log(a)