Hello, I would like to implement kalman filter when the measurement matrix is time varying. the model is as follows: Yt = Ht * Zt + Et Ht = [ 1 Mt] Zt = Zt-1 + Vt. can anyone tell how to do this with KALCVF in iml. My problem is that my Ht is time varying while in KALCVF I need Ht is time invariant. Many thanks in advance. tarik
... View more