Kalman filter with Mathematica
Kalman filter (An algorithm in control theory introduced by R. Kalman in 1960 and
refined by Kalman and R. Bucy. It is an algorithm which makes optimal use of imprecise
data on a linear (or nearly linear) system with Gaussian errors to continuously update
the best estimate of the system's current state.)
As a times series function (example); as an estimator for linear
(time series and panel) models with time-varying coefficients.
See also Control System Professional: Kalman Filter, Igor Bakshee, Wolfram Research, Inc.