Linear dynamical system. This set of functions performs inference and learning of a linear Kalman filter model. Inference is carried out via forward-backward smoothing, and learning is accomplished via the expectation maximization algorithm.

时间序列分析模型构建方法、过程及步骤,并通过假设的时间序列用MATLAB软件,实现了模型的定阶、模型参数的估计过程。-To get the Lds MOdel.