Kalman Filters

StandardFilter()	Basic Kalman Filter
UnivariateFilter()	The univariate kalman filter, described in [1], section 6.4.2, avoids inversion of the F matrix, as well as two matrix multiplications, at the cost of an additional loop.
KalmanSmoother()	Kalman Smoother
SquareRootFilter()	Kalman filter with Cholesky factorization
LinearGaussianStateSpace(name, a0, P0, c, d, ...)	Linear Gaussian Statespace distribution