Kalman Filter Code

3 .m files, 1) simulates a term structure using the CIR model, 2-3) take this simulation and estimates the parameters of the model.also includes a set of results, take mean() and std() of this to see how good the filter is.If the implementation is good, the inputs should equal the outputs, run...

The state space model is nonlinear and is input to the function along with the current measurement.It performs the extended Kalman filter and returns the estimated next state and error covariance.

The algorithm used in this code is referenced from the following:S Gillijns et al "What Is the Ensemble Kalman Filter and How Well Does it Work?"Proceedings of the 2006 American Control Conference, Minneapolis, Minnesota, USA, June 14-16, 2006, pp 4448-4453.


Platforms: Matlab

1. Detailed Tutorial on Kalman Filtering Techniques in Matlab2.Computes the Kalman gain and the stationary covariance matrix using the Kalman filter of a linear forward looking model.


Platforms: Matlab

Several functions for evaluating the exact negative log-likelihood of ARMA models in O(n) time using the Kalman Filter.


Platforms: Matlab

The first just does detection by background subtraction. This can be considered as the ground truth.The second feeds the detection output into a Kalman filter. The predicted position from the kalman filter (red) is compared against the actual ground truth position (green).Toby...


Platforms: Matlab

Nonlinear state estimation is a challenge problem. The well-known Kalman Filter is only suitable for linear systems. The Extended Kalman Filter (EKF) has become a standarded formulation for nonlinear state estimation. However, it may cause significant error for highly nonlinear systems because of...


Platforms: Matlab

The Kalman filter is a set of mathematical equations that provides an efficient computational (recursive) means to estimate the state of a process, in a way that minimizes the mean of the squared error. The filter is very powerful in several aspects: it supports estimations of past, present, and...


Platforms: Windows

A kalman filter based on a constant velocity model and constant process noise reaches is steady-state after few samples. In steady-state the actual position estimate of the kalman gives the same performances of a zero+two-pole lowpass filter applied on the measured position, while the velocity...


Platforms: Matlab

Run exampleFilter.m to see how the algorithm performs on a sample of moderately noisy 2-photon imaging data. This function is a faster, vectorised, version of Java code written by C.P. Mauer as part of an ImageJ plugin (see below).function...


Platforms: Matlab

This toolbox was designed to simulate and fit linear state space models. The main literature I used for this particular package is Kim and Nelson (1999). A state space model (without non stochastic coefficients) is given by:y(t)=beta(t)*x(t)'+e(t)...


Platforms: Matlab

To enhance the efficiency and accuracy of Kalman filter computations, in particular the time and measurement updates, UDU factorization is employed. An interesting feature of the current implementation is the extension to semi-positive (nonnegative) matrices and systems with a time-varying state...


Platforms: Matlab

This zip file contains a brief illustration of principles and algorithms of both the Extended Kalman Filtering (EKF) and the Global Position System (GPS). It is designed primarily to provide a relatively easy-to-implement EKF, in which we use symbol expressions as the form of input functions...


Platforms: Matlab

Filtering of non-stationary periodic components from signals using a multi-order Vold-Kalman Filter.The Vold-Kalman Filter, introduced by HdoDEvard Vold and Jan Leuridan in 1993, is able to extract non-stationary periodic components from a signal using a known frequency vector [1]. Being...


Platforms: Matlab

This program aids in helping one to understand the difference between KF,EKF AND UKF.


Platforms: Matlab

This is a simple filter Drupal module that handles and tags so that users can post code without having to worry about escaping it.Installation - Copy the codefilter folder to the Drupal modules/ directory, so that all files are in modules/codefilter. - Go to administer > modules, and enable the...


Platforms: Windows, Mac, *nix, PHP, BSD Solaris

Vold-Kalman second generation, multi-order, simultaneous order tracking code (vkm.m).This method is valid for extracting multiple crossing orders.Written by Scot McNeill because I got tired of not having access to the V-K method for myresearch and decided to program it myself.Prof. Jiri Tuma has...


Platforms: Matlab

Doxygen Filter project is an input filter for Doxygen enabling support for Perl code documentation. Of course, Perl developers are used to use POD rather than some other code documentation tools. However, most developers actually are not restricted to using one single language. Instead of...


Platforms: *nix

Mathematical model of a mini-helicopter robot using Simulink blocks, which allows the automatic code generation without using c-code S-functions.There is a complete toolbox that includes more subsystems and more features: detailed help in every block, governor model, analysis and design tools,...


Platforms: Matlab

This is a filter module to embed a Soundcloud track in your site using a simple tag.Syntax: [soundcloud:URL]You can set the default player look using filter settings.Player parameters: * width * height * show comments * auto play * player color (note: if the colorpicker module is installed and...


Platforms: PHP