Thanks Yi. Can I use the code to minimize the error in the estimated data? I have one estimated data (let's call observation), and another observed data (let's say true). I want to use kalman to update observed values toward true ones.
I liked the idea behind the gsp subfunction, and it *is* much more efficient than scatter. I tried this section on its own. But it should be used with care - the order that you work through the colormap will affect the final plot, with later (default red) colours overlaid over earlier (default blue) wherever the dots are crowded close together. Especially if you shrink the figure this can result in a massive bias towards (default) red. To test the effect on your plot, try replacing the loop with
04 Dec 2014
Scatter plot with color indicating data density.