File list (Check if you may need any files):
Kalman_matlab
.............\AR_to_SS.m
.............\block.m
.............\convert_to_lagged_form.m
.............\em_converged.m
.............\ensure_AR.m
.............\eval_AR_perf.m
.............\gauss.m
.............\gaussian_prob.m
.............\gaussplot.m
.............\gsamp.m
.............\kalman_filter.m
.............\kalman_smoother.m
.............\kalman_update.m
.............\learning_demo.m
.............\learn_AR.m
.............\learn_AR_diagonal.m
.............\learn_kalman.m
.............\rand_psd.m
.............\README
.............\smooth_update.m
.............\SS_to_AR.m
.............\tracking_demo.m
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