Code Links
KalmanEM.r and related code is on EcologyBox. Also KalmanEM.r is posted here (look in the left navbar).
Our other code for fitting multivariate state-space models can be found on our FishBox pages:
The website for Shumway and Stoffer (2006) is a great resource: Time Series Analysis II
Greg Welch's website on the Kalman filter is very good and has a lot of matlab code. His course material for a SIGGRAPH2001 course, Intro to Kalman, is a good introduction to the theory and is a little easier than Shumway and Stoffer. Links to different extended Kalman filters for non-linear systems are there too.
Our other code for fitting multivariate state-space models can be found on our FishBox pages:
The website for Shumway and Stoffer (2006) is a great resource: Time Series Analysis II
Greg Welch's website on the Kalman filter is very good and has a lot of matlab code. His course material for a SIGGRAPH2001 course, Intro to Kalman, is a good introduction to the theory and is a little easier than Shumway and Stoffer. Links to different extended Kalman filters for non-linear systems are there too.
No comments