This course introduces the Kalman filter as a method that can solve problems related to estimating the hidden internal state of a dynamic system. It develops the background theoretical topics in state ...
As a follow-on course to "Kalman Filter Boot Camp", this course derives the steps of the linear Kalman filter to give understanding regarding how to adjust the method to applications that violate the ...
The time series analysis subroutines are an adaptation of parts of the TIMSAC (TIMe Series Analysis and Control) package developed by the Institute of Statistical Mathematics (ISM) in Japan.
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