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This is an open source Kalman filter C++ library based on Eigen3 library for matrix operations. The library has generic template based classes for most of Kalman filter variants including: (1) Kalman Filter, (2) Extended Kalman Filter, (3) Unscented Kalman Filter, and (4) Square-root UKF..
Kalman filter for C++26 that turns dimension and unit mistakes into compile errors. You describe the filter with named arguments and the library deduces a lean, specialized type, so you don't write matrix boilerplate. Use any linear algebra backend and strong types for physical quantities. Header-only, public domain.
Filters (kalman, hodrick-prescott, moving average) together with comparison and sensitivity analysis (in notebook filters_with_parameters)+var analysis and granger causality test. Test for random walk (CE currencies using yfinance API)
This repository contains most of the files used by me, Mairon S. Wolniewicz, to develop the final project of my Aerospace Engineer undergraduation studies at Federal University of Santa Catarina.