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Dual Extended Kalman Filter (DEKF)

version 1.0 (4.94 KB) by

This package implements Dual Extended Kalman Filter for time-varying MVAR parameter estimation.



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The package implements Dual Extended Kalman Filter function for the application of time-varying MVAR parameter estimation. It also includes a sample script which shows the usage of the function on a simulated MVAR model with time-varying parameters.

To see an application of DEKF for EEG signal processing, please refer to our study:

A. Omidvarnia, M. Mesbah, M. S. Khlif et al., “Kalman filter-based time-varying cortical connectivity analysis of newborn EEG” in Int. Conf. IEEE Engineering in Medicine and Biology Society (EMBC2011), Boston, US, 2011, pp. 1423-1426

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