Kalman Filter and Linear Dynamic System

Version 1.0.0.1 (6.1 KB) by Mo Chen
Kalman Filter and Linear Dynamic System for time series modeling
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1.9K Downloads
Updated 30 Nov 2018

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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 (2024). Kalman Filter and Linear Dynamic System (https://www.mathworks.com/matlabcentral/fileexchange/55867-kalman-filter-and-linear-dynamic-system), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2018b
Compatible with any release
Platform Compatibility
Windows macOS Linux
Acknowledgements

Inspired by: Pattern Recognition and Machine Learning Toolbox

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Version Published Release Notes
1.0.0.1

Fix EM algorithm and add subspace method for learning LDS
1.0.0.0