KalmanFilterToolbox.jl

Handy code for the Gaussian filtering and smoothing aficionado.

API documentation:

• Filtering and Smoothing
• • Approximate inference via linearization
• Gauss-Markov Processes
• • Processes
  • Utilities
  • SDE and tools

Examples:

• Sampling from Priors

See also

• MarkovKernels.jl