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Re: Kalman filtering resources

  • To: mathgroup at
  • Subject: [mg15366] Re: Kalman filtering resources
  • From: Igor Bakshee <bakshee>
  • Date: Sat, 9 Jan 1999 23:58:23 -0500
  • Organization: Wolfram Research, Inc.
  • References: <774l8v$>
  • Sender: owner-wri-mathgroup at

The Kalman filtering functions are included in Time Series and Control
System Professional (both are separate commercial add-ons to
Mathematica, i.e., they are not free). More info on the packages can be
found at


correspondingly. (The web pages for Time Series seem to be slightly out
of synch in the Kalman filtering part, so you will have to request our
printed catalog and/or technical data sheet through the usual sales
channels if interested.)

Igor Bakshee
WRI, Applications Development

CLERC Nicolas wrote:
> 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,
> Best,
> Nicolas

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