JuliaGNSS/KalmanFilters.jl

State estimation, smoothing and parameter estimation using Kalman and particle filters.

A lightweight, high-performance Kalman Filter library in C, C++, and MATLAB, offering superior numerical stability and efficiency with minimal dependencies.

Implementation of various ensemble Kalman Filter data assimilation methods in Julia

Package implementing common state-space routines.

Kalman filter library

InEKF: The Invariant Extended Kalman Filter on Matrix Lie Groups

Kalman filter for C++26 that turns dimension and unit mistakes into compile errors. You describe the filter with named arguments and the library deduces a lean, specialized type, so you don't write matrix boilerplate. Use any linear algebra backend and strong types for physical quantities. Header-only, public domain.

State-space model inference with JAX

StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.