A flexible, modern, C++ recursive Bayesian estimation library.

Sigma-Point Kalman Filters

Code supplement for "The Discriminative Kalman Filter for Bayesian Filtering with Nonlinear and Nongaussian Observation Models"

This repository contains simple implementations for different Bayesian filters (Kalman, Extended Kalman, Unscented Kalman, and Particle filters)

XeLaTeX for "A Discriminative Approach to Bayesian Filtering with Applications to Human Neural Decoding"

This repository contains code implementations for the Discriminative Kalman Filter.

These slides were presented at my dissertation defense (Division of Applied Mathematics, Brown University, 23 May 2018).

Simple Kalman Filter.