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Kalman filtering resources

  • To: mathgroup at
  • Subject: [mg15336] Kalman filtering resources
  • From: Nicolas.Clerc at (CLERC Nicolas)
  • Date: Fri, 8 Jan 1999 04:15:24 -0500
  • Organization: University of Lausanne
  • Sender: owner-wri-mathgroup at

Hi Mathematica Folks,

I'm working on a financial problem that would require some Kalman
Filtering (a  conditional CAPM with latent factors).

I found nothing related to KF on the MathSource site.

Does anyone know any relevant resources (URL or ftp sites) where I would
find  some Mathematica code and/or advices for KF ?

Thank you very much in advance for your support,



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