Kalman.jl

Kalman.jl: Flexible filtering and smoothing in Julia. Kalman uses DynamicIterators (an iterator protocol for dynamic data dependent and controlled processes) and GaussianDistributions (Gaussian distributions as abstraction for the uncertain state) to implement flexible online Kalman filtering.

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References in zbMATH (referenced in 1 article )

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  1. Raphael Saavedra, Guilherme Bodin, Mario Souto: StateSpaceModels.jl: a Julia Package for Time-Series Analysis in a State-Space Framework (2019) arXiv