Here's a simple example of a Kalman filter implemented in MATLAB:
The Kalman filter is a widely used algorithm in various fields, including navigation, control systems, signal processing, and econometrics. It was first introduced by Rudolf Kalman in 1960 and has since become a standard tool for state estimation. Here's a simple example of a Kalman filter
% Generate some measurements t = 0:0.1:10; x_true = sin(t); y = x_true + randn(size(t)); x_true = sin(t)
% Initialize the state estimate and covariance matrix x0 = [0; 0]; P0 = [1 0; 0 1]; y = x_true + randn(size(t))