Filtering and Smoothing

Contact Details

Dr. Adrian Wills



+61 2 49216028


+61 2 49216993


Callaghan Campus
Building EA: EA-204


Dr. Adrian Wills

School of Electrical Engineering and Computer Science

- - -


Australian Research Council

ARC Discovery Project
Value: $336,000
This project offers a suite of software routines that run under Matlab, which perform various signal filtering and smoothing operations. This includes standard Kalman filtering and Kalman smoothing routines. The system and covariance matrices can be time-varying.


  • 2009-08-12: New website released.

Available routines

The filtering and smoothing routines that are available for DOWNLOAD include:

  • Kalman Filter: Kalman Filter routine, allowing time varying system and covariance matrices. Implemented using square-root covariance form.
  • Kalman Smoother: Rauch-Tung-Striebel Smoothing routine, allowing time varying system and covariance matrices. Also implemented using square-root covariance form.
  • One step of Kalman Filter: Implements one measurement and one time update of the Kalman Filter recursion using square-root covariance form.

Try it Out

  • This software works with Matlab.
  • In an attempt to help further development, we request that you register your name and email address in order to proceed with the download.
→ Available here: DOWNLOAD

Report an unexplored feature (bug)

  • If you would like to report a bug then please email me.

Maintained by Dr. Adrian Wills
University of Newcastle
13 Aug 2009, © Copyright