Kalman Filters

StandardFilter([time_varying_names, ...])	Basic Kalman Filter
UnivariateFilter([time_varying_names, ...])	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.
SquareRootFilter([time_varying_names, ...])	Kalman filter with Cholesky factorization
LinearGaussianStateSpace(name, a0, P0, c, d, ...)	Linear Gaussian Statespace distribution