# kalman.h File Reference

Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions. More...

`#include "../math/functions.h"`
`#include "../stat/exp_family.h"`
`#include "../math/chmat.h"`
`#include "../base/user_info.h"`

Go to the source code of this file.

## Classes
class | bdm::StateSpace< sq_T >
| Basic elements of linear state-space model. More...
class | bdm::Kalman< sq_T >
| Common abstract base for Kalman filters. More...
class | bdm::KalmanFull
| Basic Kalman filter with full matrices. More...
class | bdm::KalmanCh
| Kalman filter in square root form. More...
class | bdm::EKFfull
| Extended Kalman Filter in full matrices. More...
class | bdm::EKFCh
| Extended Kalman Filter in Square root. More...
class | bdm::MultiModel
| (Switching) Multiple Model The model runs several models in parallel and evaluates thier weights (fittness). More...
## Functions
| bdm::UIREGISTER (KalmanFull)
| bdm::UIREGISTER (KalmanCh)
| bdm::UIREGISTER (EKFfull)
| bdm::UIREGISTER (EKFCh)
| bdm::SHAREDPTR (EKFCh)
| bdm::UIREGISTER (MultiModel)
| bdm::SHAREDPTR (MultiModel)
template<class sq_T >
shared_ptr< StateSpace< fsqmat > > | bdm::to_state_space (const mlnorm< sq_T > &ml, ivec &theta_in_A, ivec &theta_in_C)
| conversion of outer ARX model (mlnorm) to state space model

## Detailed Description

Bayesian Filtering for linear Gaussian models (Kalman Filter) and extensions.

Author:
  Vaclav Smidl.

----------------------------------- BDM++ - C++ library for Bayesian Decision Making under Uncertainty

Using IT++ for numerical operations -----------------------------------