Initial commit

Project.toml

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+name = "UnscentedKalmanFilters"
+uuid = "fb6c460f-f05e-49c3-9e45-b6a440335337"
+authors = ["Ruben Gonzalez <ruben.carbonbased@gmail.com> and contributors"]
+version = "1.0.0-DEV"
+
+[deps]
+LinearAlgebra = "37e2e46d-f89d-539d-b4ee-838fcccc9c8e"
+Statistics = "10745b16-79ce-11e8-11f9-7d13ad32a3b2"
+
+[compat]
+julia = "1"
+
+[extras]
+Test = "8dfed614-e22c-5e08-85e1-65c5234f0b40"
+
+[targets]
+test = ["Test"]

README.md

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+# UnscentedKalmanFilters
+A lightweight implementation of Kalman unscented Kalman filtering with the following features
+1. Fallback to linear methods for transition if the state predictor is linear
+2. Fallback to linear methods for observations if the state observer is linear
+3. Consistent use of the square-root form for improved numerical stability
+4. Automatic observation space reduction to remove non-finite observations
+5. Optinal multithreading if state transition or observation is computationally intensive

src/UnscentedKalmanFilters.jl

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+module UnscentedKalmanFilters
+    include(joinpath(@__DIR__, "_StateSpaceModel.jl"))
+end