Kalman filter toolbox written by Kevin Murphy, See learning_demo.m for a demo of parameter estimation using EM.

Kalman toolbox
..............\AR_to_SS.m
..............\convert_to_lagged_form.m
..............\ensure_AR.m
..............\eval_AR_perf.m
..............\kalman_filter.m
..............\kalman_forward_backward.m
..............\kalman_smoother.m
..............\kalman_update.m
..............\learning_demo.m
..............\learn_AR.m
..............\learn_AR_diagonal.m
..............\learn_kalman.m
..............\README.txt
..............\README.txt~
..............\sample_lds.m
..............\smooth_update.m
..............\SS_to_AR.m
..............\tracking_demo.m

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