SSMProblems.jl and GeneralisedFilters.jl provide a unified Julia interface for defining state space models and running Kalman, particle, and Rao-Blackwellised filter inference with GPU support.
Friedland, Control system design: an introduction to state-space methods
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State Space Model Programming in Turing.jl
SSMProblems.jl and GeneralisedFilters.jl provide a unified Julia interface for defining state space models and running Kalman, particle, and Rao-Blackwellised filter inference with GPU support.