Kalman Filter Diagnostic Dashboard

Download Matlab source code:
kfdd-0.2.tar.gz

A tool to help assess how well a Kalman filter is fitted to a particular sequence of 1D data. The dashboard has three views which give insight into different aspects of the filter performance. The innovations view (above) analyses the residuals between the step-ahead predictions and the actual reference sequence, to see if they have the right characteristics. The predictions view shows how confident the filter is, and the generative view draws samples from the dynamical model in order to see whether they "look right". A demo is included.

Neonatal condition monitoring demo

Download Matlab source code & data:
babymonitoringdemo.tar.gz (5.1Mb)

Demonstration of a condition monitoring system for infants in intensive care. Annotated data is included for 15 premature babies (24 hours of data for each baby, with several measurements channels recorded every second). Some third party code is required:

• Bayes Net Toolbox (used for expectation-maximisation in Kalman filters).
• Matlab Signal Processing Toolbox (used for spectrum estimation).

And optionally, (to try RBPF inference):

• Rao-Blackwellised Particle Filtering Code (used for particle resampling).

To run, make sure these packages are on the Matlab path and follow instructions in README.txt. This code is under active development, so feedback is welcome.

SKF demo

Download Matlab source code:
skf.tar.gz

A minimal switching Kalman filter implementation, with a toy demonstration. The demo shows classification of different patterns in a sequence. (Note: these models are also variously referred to as Switching Linear Dynamical Systems, Jump Markov Linear Gaussian Models, or as instances of Switching State Space Models.)

AR Yule-Walker

Download Matlab source code:
aryw.m

Find autoregressive (AR) coefficients to fit time series data, using the Yule-Walker equations. This function can take multiple segments of training data.