Welcome State space notation Functions Download
Last update Jul 10, 2004


The ieks library contains the following scripts:
Iterated extended Kalman filter and smoother:

The class and miscellaneous methods:

Extended Kalman filters:

Cojugated Kalman filters:

The Gaussian Kalman filter:

The Kalman smoother:

Advanced exampel: Non-linear system equation:
       Advanced example


The main reference for the implemented scripts is my thesis:
Klein, (2003), State Space Modelling of Expontial Family Data, Ph.D. Thesis, Department of Statistics, University of Southern Denmark.
Please refer to the bibliography of the thesis for further details.