Filters

Kalman filter with RTS smoother and maximum likelihood estimation of parameters.

kalman_filter(y, G, F, W, V[, m0, C0])	Linear Gaussian Kalman filter.
rts_smoother(m, C, a, R, G)	Rauch-Tung-Striebel (RTS) smoother.
kalman_loglikelihood(e, S)	Prediction-error decomposition log-likelihood.
fit_kalman(y, G, F, *[, fit_W, fit_V, W0, ...])	Estimate Kalman filter noise covariances by maximum likelihood.