[jira] Created: (MATH-485) Feature Request: Kalman Filter

[Benjamin McCann (JIRA)]

Feature Request: Kalman Filter
------------------------------

                 Key: MATH-485
                 URL: https://issues.apache.org/jira/browse/MATH-485
             Project: Commons Math
          Issue Type: Wish
            Reporter: Benjamin McCann


I'd love it if Commons Math could add support for the Kalman filter.  Here are 
a few implementations that might be able to be used for reference or included 
if they're using compatible licenses:
http://code.google.com/p/efficient-java-matrix-library/wiki/KalmanFilterExamples
http://mathstat.asu.edu/~eubank/
http://www.fit.vutbr.cz/research/prod/index.php.en?id=53&notitle=1
http://sourceforge.net/projects/jkalman/
http://www.vni.com/products/imsl/jmsl/v30/api/com/imsl/stat/KalmanFilterEx1.html


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