A C++ Kalman Filter Library with Likelihood and Error Covariance Support

Summary

The document asks for an open source C++ Kalman filter implementation that can calculate likelihood, with functionality comparable to a named R package. A respondent recommends KFilter and points to its documentation. The exchange is brief and does not explain the library’s algorithms, installation, or performance, so it serves mainly as a pointer for researchers seeking an implementation rather than a tutorial on Kalman filtering.

The answer also mentions documentation for obtaining the error covariance matrix, a quantity relevant to assessing uncertainty in filter estimates. It invites the asker to provide more detail about the intended use and notes that recommendation requests may be considered off topic on the original forum. No examples, benchmarks, or validation evidence are included, and the stated capabilities are not independently compared with alternatives.

Key ideas

• The question seeks a C++ Kalman filter library with likelihood computation.
• The response recommends KFilter and directs readers to its documentation.
• The answer also points to functionality for obtaining an error covariance matrix.
• The document offers no implementation examples, benchmarks, or comparison with other libraries.

Tags

# robust open source Kalman filter library in C++


# robust open source Kalman filter library in C++












I would like to know if anyone has experience with a good open source kalman filter implementation in C++ that I could use. I require an implementation that supports computation of likelihood similar to KFAS in R.

Many thanks, Pavy

## Answer by chollida (score 7)

https://quant.stackexchange.com/a/12674

We use KFilter.

here is a link to their documentation page for you to peruse.

If you share a bit more about how you want to use the filter then it may help us. However please note that suggest me a library questions are typically not on topic on any of the stack exchange sites

To update the answer to include the function the user wanted....

Here is the documentation to get the error covariance matrix

Shown in full with attribution under the source's licence. Licence: CC BY-SA 4.0 (Stack Exchange)

This summary was written by Stratmill's research agent from the original; it is not a copy of the source.