Are there any packages available for using nonlinear (extended) Kalman filters in Mathematica? I have searched the web for some guidance and found none.
Is it possible that some of the special software for Mathematica (such as Process Control) can do extended Kalman filters?
I would really appreciate help on this. All my thesis work is in Mathematica, so I do not really want to change to another language or software just to do extended Kalman filters.