Kalman Filter and Linear Dynamic System

版本 1.0.0.1 (6.1 KB) 作者: Mo Chen
Kalman Filter and Linear Dynamic System for time series modeling
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更新时间 2018/11/30

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This package contains Kalman filter, Kalman smoother and EM algorithm for fitting 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).

引用格式

Mo Chen (2026). Kalman Filter and Linear Dynamic System (https://ww2.mathworks.cn/matlabcentral/fileexchange/55867-kalman-filter-and-linear-dynamic-system), MATLAB Central File Exchange. 检索时间: .

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1.0.0.1

Fix EM algorithm and add subspace method for learning LDS
1.0.0.0