The KALMTOOL toolbox is a set of MATLAB tools for state estimation for nonlinear systems. The toolbox contains functions for extended Kalman filtering as well as for two new filters called the DD1 filter and the DD2 filter. The toolbox specifically addresses the problem of not having observations available at all sampling instants. All functions are available as m-functions but for faster (much faster!) execution, the DD1 and DD2 filters are also available as C Mex files for MATLAB under Windows and Linux. The toolbox requires MATLAB 6 (but probably works under MATLAB 5.3 also, although this has not been tested). No additional toolboxes are required.

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  1. Whittle, Jon; Schumann, Johann: Automating the implementation of Kalman filter algorithms (2004)