I know I'm fishing here, but.... Please post if you know of one, or even better if you've built one let me know. I know matlab has particle filter, but I'm specifically looking for unscented and non-matlab OS implementation.
That's not unscented, but thanks anyways. I knew about it. I have a C++ version, but it's a pain to translate. I am looking to build an unscented particle filter algorithm in OS language.
Closest thing I could find (C++). Unscented kalman filter + particle filter: http://www.indii.org/software/dysii You know you can call C++ functions from most other languages, right?
Stoxtrader, PM sent. Yes, I think that was the C++ package I was referring to. If anyone has experience using pyrex/cython (or similar interface: weave, Instance/SWIG ex) to run C++ files in python please chime in. I looked over the cython intro, and it doesn't look as easy as just instantiating the C++ classes and defs into a python wrapper. If anyone has done this, please let me know, as I would prefer to run this in something like python. However, if I have to go through each class and modify it to work, I don't know if it's worth the effort. Also, a great test case would be if you could run any of the particle filters on a ts from the C++ lib Stoxtrader pointed out using python, and letting me know if it works. thanks