Description: kalman filter package, including standard, square root, Square Root AR Kalman Filter, etc.
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File list (Check if you may need any files):
Kalman Filter Package
.....................\Covariance Estimation Methods
.....................\.............................\EWMACovEst.m
.....................\.............................\StandardCovEst.m
.....................\Examples
.....................\........\.DS_Store
.....................\........\ExtendedKalmanFilterDemo.m
.....................\........\KalmanFilterIteration.m
.....................\........\KF_Demo1.m
.....................\........\KF_Demo2.m
.....................\kf_screenshot.png
.....................\Linear Algebra Methods
.....................\......................\myPInv.m
.....................\......................\mySVD.m
.....................\......................\myUD.m
.....................\......................\myUnitTriSysSol.m
.....................\MA Methods
.....................\..........\EWMA.m
.....................\..........\UWMA.m
.....................\README.txt
.....................\Square Root Filter Methods
.....................\..........................\bierman.m
.....................\..........................\KalmanGainCalc.m
.....................\..........................\thornton.m
.....................\SquareRootARKalmanFilter.m
.....................\SquareRootKalmanFilter.m
.....................\StandardARKalmanFilter.m
.....................\StandardKalmanFilter.m
.....................\Thumbs.db
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