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Is there an free source code available for Kalman filtering, especially in VBA?Thanks,asd

I wrote a Kalman filter program in MatLab for my MSc. I've just gone through it and it's really dodgey in parts. He he he he I can see where I 'made' bits up just to beef up the amount of code just to make it look like I've done the work Paul

For a free matlab tool, you might be interested in this: KalmtoolI've never seen a kalman filter implementation in VBA, but if you have matlab then you might try leveraging the com object it exposes ... you can use it in VBA by clicking Tools | References ... and look for the Matlab Automation Server type library.Then you can write VBA like this:Dim appSet app = CreateObject("Matlab.Application")app.Execute("<some valid matlab expression>")Other methods offer matrix input/output to and from the matlab engine.Disclaimer: I use Matlab v6.0 ... your mileage may vary w/a diff't version.

Would this code can be called a 'Kalman-Filter'?input: K1(.003), BP(range);VARS: Pred( BP ), Smooth(0), Velo(0), DeltaK(0);{ Loop for every interval }DeltaK = BP - Pred;Smooth = Pred + DeltaK* SquareRoot( k1*2 ) ;Velo= Velo + (k1*Deltak) ;Pred = Smooth + Velo ;Plot1(Pred[1], "KF pred");Plot2(BP);

Robertral, Athletico and EdeS, Thanks a lot for your help! However, I don't have MATLAB but only Octave/Borland C++/Quantlib. I tried to download Bayes++ , but this has some painful compiling problem needing to download jam,etc. which itself is a seperate project - in the end I read that it is not compatible even with VC++ 6.0 . Please tell if you find any links to Kalman software using octave/ other GNU library.Regards,asd

you might find something useful at sourceforge: GNU Octave Repositoryi just glanced at the Control Theory part of the octave-forge package and it looks like there are some kalman filtering routines in there.

Athletico, Thanks a lot ! I was hunting around everywhere, and did not know it was there in the Octave library.Regards,asd

Is there any example code/demo of Kalman filter usage in finance, in any language?Thanks!