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Kalman Filter and Linear Dynamic System

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Kalman Filter and Linear Dynamic System for time series modeling

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This package contains Kalman filter, Kalman smoother and EM algorithm for learning parameters of Linear Dynamic System.
This package is now a part of the PRML toolbox (http://www.mathworks.com/matlabcentral/fileexchange/55826-pattern-recognition-and-machine-learning-toolbox).

Comments and Ratings (1)

There appears to be a typing error due to the previous Bishop 2006 edition. If you check the addendum which can be found online (or simply the 2007 edition), you'll notice that equation 13.106 should read:
E[zn zn-1] = V_n * transpose(J_n-1) + mu_n * transpose(mu_n).

MATLAB Release
MATLAB 9.0 (R2016a)
Acknowledgements

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