Precision-based sampling from state space models that have no measurement error

Multidimensional implementation of standard and extended Kalman Filters

Second-order iterated smoothing algorithms for state estimation

High-dimensional Kalman filter toolbox (HELMET)

A Julia implementation of estimation and validation algorithms for time series compatible with incomplete data.

Suite of Julia packages solving the GDE for aerosol: measurement simulation and parameter estimation

Package implementing common state-space routines.

Archive of personal implementations of various Bayesian smoothers.

Approximate inference for Markov Gaussian processes using iterated Kalman smoothing, in JAX

Markov-Switching State-Space Models

Flexible filtering and smoothing in Julia

A small collection of Kalman Filters on Lie groups

Ensemble-based history matching method with latent-space proxy model for nonlinear forward model and non-Gaussian models.

Interactive and real time 2D simulation of the Kalman Filter in use to reduce statistical input noise.

A Julia implementation of basic tools for time series analysis compatible with incomplete data.

Streamflow reconstruction using linear dynamical system

Kalman Filter and Smoother Implementation for Radio Interferometric Gains Calibration. This library is part of the master's work by Brian Welman and serves as a 'proof-of-concept' tool for it.

A simple implementation of Kalman filter and RTS smoother in Rust (ndarray)

State Space Models with Lagged State (SSMwLS) in the measurement equation

Implementation of the Kalman Filter Algorithm in Julia.