Kalman Filter &Smoother, Subspace Identification
- To: mathgroup at smc.vnet.net
- Subject: [mg37643] Kalman Filter &Smoother, Subspace Identification
- From: Roy Mendelssohn <rmendels at pfeg.noaa.gov>
- Date: Thu, 7 Nov 2002 06:41:43 -0500 (EST)
- Reply-to: rmendels at pfeg.noaa.gov
- Sender: owner-wri-mathgroup at wolfram.com
I know this question arises fronm time to time, but has anyone implemented a modern, multivariate Kalman filter and smoother? By modern, I mean there have been a lot of improvements to the algorithm in the last few years that both spedd up and complement the computations. On a related matter, does anyone know anything about the Time Series package form Wolfram, and especially it's Kalman algorithm (my inquries to Wolfram have produced a fact sheet and not much else, and the fact sheet doesn't tell you very much ). Is the algorithm univariate of multivariate, is it readily tied in some how with an optimization algorithm so that it can be used for likelihood estimation, is the code avaiable if you purchase it sothat it can be modified? And finally, has anyone implemented subspace identification algorithms, such as those in the System identification Toolbox? TIA, Roy Mendelssohn