Kalman filters

Version 1.1.0.0 (488 KB) by vasja sivec
3 kalman filters based on Durbin and Koopman (2012)
3.0
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614 Downloads
Updated 4 May 2015

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Kalman filters based on Durbin and Koopman (2012):
1) standard (kfs_dk.m),
2) univariate treatment of multivariate series (kfs_dk_uni)
3) square root filter (kfs_sq)
Notaion follows Durbin and Koopman (2012). Test data provided (inputs.dat)

Cite As

vasja sivec (2024). Kalman filters (https://www.mathworks.com/matlabcentral/fileexchange/50740-kalman-filters), MATLAB Central File Exchange. Retrieved .

MATLAB Release Compatibility
Created with R2012a
Compatible with any release
Platform Compatibility
Windows macOS Linux
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Version Published Release Notes
1.1.0.0

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1.0.0.0