Hierarchical Kalman Filter for clinical time series prediction by Shuang Wang

It is an implementation of hierarchical (a.k.a. multi-scale) Kalman filter using belief propagation. (belief propagation, bp, message passing)

EMConvergence(msg, varNode, ts_data, numLevels)

EMForMultiScaleKalmanFilter(msg, varNode, belief, ts_data, ...

GaussianDivision(G1, G2)