引自http://chinawangquan.spaces.live.com/blog/cns!9CF795352E94BF70!583.entry

 介绍一个卡尔曼滤波器Matlab工具箱的网站，该工具箱是由Kevin Murphy于1998年写的，最近的更新版本是2004年6月7号。
    该网站提供了卡尔曼滤波器Matlab工具箱的下载，介绍了卡尔曼滤波器，给出了用于跟踪的卡尔曼滤波和平滑的一些例子，说明了什么是非线性和非高斯系统，还有卡尔曼滤波器的一些其他软件包（有些用C语言写的滤波器算法模块）。
    该工具包的主要函数有：

• Kalman_filter
• Kalman_smoother - implements the RTS equations
• Learn_kalman - finds maximum likelihood estimates of the parameters using EM
• Sample_lds - generate random samples
• AR_to_SS - convert Auto Regressive model of order k to State Space form
• SS_to_AR
• Learn_AR - finds maximum likelihood estimates of the parameters using least squares

    其它的卡尔曼滤波器的软件包有：

• SSPIR package in R. The system identification toolbox from the Mathworks implements many classical algorithms.
• ARfit is an excellent package for autoregressive models.
• Zoubin Ghahramani has matlab code for EM in LDS's which is similar to mine, but is partially written in C.
• KBF, an implementation of the Kalman filter-smoother in Omatrix, a (supposedly faster) version of matlab.
• Le Sage's econometrics toolbox, contains lots of excellent matlab time series modelling functions
• Econometric Links Econometrics Journal. Most of the software is either commercial or written in Gauss, which is similar to Matlab.
• SSF pack is a set of C routines for state-space filtering.
• Stamp is a commercial package for structural time series analysis. Statistical Time Series Analysis Toolbox O matrix Statistical Time Series Analysis Toolbox