Fig. 8.

Filtering results from KF1 and KF2 for an OU process with $\mathit{\alpha }=4.0$ and $\mathit{\sigma }=2.0$ (blue trace) using aggregated data over an integration period of $\mathrm{\Delta }=1.0$. Black lines correspond to the posterior mean estimate and green lines to 1 s.d.. For inference, we used the estimated parameters from A.7. a KF1 ($\mathrm{\Delta }=1.0$). b KF2 ($\mathrm{\Delta }=1.0$). (Color figure online)