kalmanfilter

代码说明：

  一个非常好用的国外牛人写的kalman滤波程序，(kfdemo.m is a Matlab script file to run a demonstration of the Bayesian Kalman filter. It loads file kfdemo.mat (saved as version 4 so that it will read in either v4 or v5 Matlab).The other files are called by kf.m (the Kalman filter) or included as they may be useful. Normalis.m normalises data to zero-mean, unit variance along components. I always do this before any further analysis.)