Kalman filter toolbox written by Kevin Murphy, 1998.
See http://www.ai.mit.edu/~murphyk/Software/kalman.html for details.

Installation
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1. Install KPMtools from http://www.ai.mit.edu/~murphyk/Software/KPMtools.html
3. Assuming you installed all these files in your matlab directory, In Matlab type

addpath matlab/KPMtools
addpath matlab/Kalman


Demos
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See tracking_demo.m for a demo of 2D tracking.
See learning_demo.m for a demo of parameter estimation using EM.