Kalman Filter and Linear Dynamic System
Kalman Filter and Linear Dynamic System for time series modeling
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This package contains Kalman filter, Kalman smoother and EM algorithm for fitting parameters of Linear Dynamic System.
This package is now a part of the PRML toolbox (http://www.mathworks.com/matlabcentral/fileexchange/55826-pattern-recognition-and-machine-learning-toolbox).
Cite As
Mo Chen (2026). Kalman Filter and Linear Dynamic System (https://ch.mathworks.com/matlabcentral/fileexchange/55867-kalman-filter-and-linear-dynamic-system), MATLAB Central File Exchange. Retrieved .
Acknowledgements
Inspired by: Pattern Recognition and Machine Learning Toolbox
General Information
- Version 1.0.0.1 (6.1 KB)
MATLAB Release Compatibility
- Compatible with any release
Platform Compatibility
- Windows
- macOS
- Linux
