This section describes a collection of Kalman filtering and smoothing subroutines for time series analysis; immediately following are three examples using Kalman filtering subroutines. The state space ...

This course introduces the Kalman filter as a method that can solve problems related to estimating the hidden internal state of a dynamic system. It develops the background theoretical topics in state ...

As a follow-on course to "Kalman Filter Boot Camp", this course derives the steps of the linear Kalman filter to give understanding regarding how to adjust the method to applications that violate the ...