The KFilter Project: A Variable Dimension Extended Kalman Filter Library
1.0 "The Kalman filter is a set of mathematical equations that provides an efficient computational (recursive) solution of the least-squares method. The filter is very powerful in several aspects: it supports estimations of past, present, and even future states, and it can do so even when the precise nature of the modeled system is unknown." (quoted from )
This version of the Kalman filter is in fact a Variable-Dimension Extended Kalman Filter (VDEKF). It supports optimized algorithms (translated from Fortran - see ), even in the presence of correlated process or measurement noise.
For a usage example, please check out the example page in the related pages section.
-  Bierman, G. J. "Factorization Methods for Discrete Sequential Estimation", Academic Press, 1977.
 Welch, G. and Bishop, G. "An Introduction to the Kalman Filter", http://www.cs.unc.edu/~welch/kalman/kalmanIntro.html
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