Publications

September 26, 2017

SMOOTHIES: A Toolbox for the Exact Nonlinear and Non-Gaussian Kalman Smoother

In this paper, I present a new toolbox that implements the exact nonlinear and non-Gaussian Kalman smoother for a wide class of discrete-time state space models, including models with implicit functions and equality constraints.

September 26, 2017

Exact Nonlinear and Non-Gaussian Kalman Smoother for State Space Models with Implicit Functions and Equality Constraints

In this paper, I present a novel implementation of the exact nonlinear and non-Gaussian Kalman smoother that can also deal with implicit functions in the measurement and/or state equations as well as equality constraints.