The KFilter Project: A Variable Dimension Extended Kalman Filter Library

kfilter: kfilter

The Kalman filter is a set of mathematical equations that provides an efficient computational (recursive) solution of the least-squares method.

Homepage: http://ros.org/wiki/kfilter

"The Kalman filter is a set of mathematical equations that provides an efficient computational (recursive) solution of the least-squares method. The filter is very powerful in several aspects: it supports estimations of past, present, and even future states, and it can do so even when the precise nature of the modeled system is unknown." (quoted from [02])
This version of the Kalman filter is in fact a Variable-Dimension Extended Kalman Filter (VDEKF). It supports optimized algorithms (translated from Fortran - see [01]), even in the presence of correlated process or measurement noise.
For a usage example, please check out the example page in the related pages section.

References

[01] Bierman, G. J. "Factorization Methods for Discrete Sequential Estimation", Academic Press, 1977.
[02] Welch, G. and Bishop, G. "An Introduction to the Kalman Filter", http://www.cs.unc.edu/~welch/kalman/kalmanIntro.html