Learing Kalman Filters


#1

I am trying to understand and implement Kalman filter. Any lucid blogs and links are welcome;Also, if any known github codes would be known please do share.


#2

Hi. We have a lecture and code for the Kalman Filter. They can be found on our lecture site (http://lectures.quantecon.org/py/kalman.html) and on the code is on our github repository


#3

I will second @cc7768, you should definitely take a look at the Kalman filter lecture if you haven’t already. I spent some time learning Kalman filters a while back, and the quant-econ lecture is one of the best I’ve found. Good luck!