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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

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  • $\begingroup$ Thanks for your reply. Does it provide a method to return the likelihood? $\endgroup$ – user9311 Jun 17 '14 at 3:49
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    $\begingroup$ Found it. There is a method calculateP() that returns the prediction error matrix. $\endgroup$ – user9311 Jun 17 '14 at 13:34

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