Functions
kalman_filter
kalman_smoother - implements the RTS equations
learn_kalman - finds maximum likelihood estimates of the parameters using EM
sample_lds - generate random samples
AR_to_SS - convert Auto Regressive model of order k to State Space form
SS_to_AR
learn_AR - finds maximum likelihood estimates of the parameters using least squares(This toolbox supports filtering, smoothing and parameter estimation (using EM) for Linear Dynamical Systems.)