As far as my calcs go and some literature I've read, the Kalman Filter is an EMA on price series data. Can anyone confirm?
If one take the error on measurement (error on price) factor in the Kalman calculations as the alpha in an EMA to get values ranging between 1 and zero, 1 being a lookback period of 1 and close to zero a very large lookback period, it produces an EMA.
In all these calcs the error on measurement is thought to be constant, but what if the error on measurement fluctuates based on volatility e.g. ATR[14] or even the difference of the previous days high and low. This is exactly the basis of the Jurik Moving Average.
So in essence the JMA is a TEMA with a volatility based alpha. Or rather a Triple Exponential Weighted Moving Average, weightings brought in for every EMA calculation.