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
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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