Dannidin-ga, do you have any experience with Kalman filters and/or
matrix algebra? (Yes/no answer; five stars for a complete answer).

I'm asking a question on these things (id=163255) and I am given the
impression that what I'm asking isn't easy. If mathtalk-ga wants to
continue to answer it, I'd consider sponsoring an independent question
for you to have a go with, as no doubt you'd probably answer it in a
different way anyway.

Hi asiatechnicals,

It would be a shame for me to take your money for no work, so I'm
posting this as a comment: I'm extremely flattered by your requesting
my services personally. Unfortunately, I don't know anything about
Kalman filters. I do know as much matrix algebra as anybody with a
Ph.D. in math. I've read your question on Kalman filters, and also
browsed through some websites explanining Kalman filters.
Theoretically, since I know a lot of probability theory I'm sure I
could read about them and understand what they are, but this would
really take an exorbitant amount of time. Also, I'm not exactly fluent
(gross understatement...) in either Excel or VBA (whatever that is...
Visual Basic something?) - the last time I did any amount of
programming it was in C, and that was about 10 years ago. So I really
don't think I'm competent to deal with this project. However, I've
read mathtalk's suggestions and I can assure you you're in excellent
hands with him (her? - by the way, I'm a "he"...), you'll undoubtedly
get a superb answer.

In the future, of course, I'll be happy to assist with any new
questions you have, within the limitations of my ability. You're a
5-star client, if ever there was one...

Regards,
dannidin

I'll leave this question open for a week. You're welcome to the
question fee; you've answered my question, after all.

I understand your reluctance to try Excel or Visual Basic for
Applications (VBA); in fact, I think we're had this conversation
before. As you know, I'm weak in conventional notation and an answer
expressed any other way would probably be "over my head."

I hope Mathtalk-ga will accept my question. Otherwise, my last resort
will be to advertise around the university campus - not a respectable
option for a supposed expert.

Dannidin-ga, I see you have turned down the posting fee for this
question.  I'll cancel it, now, but please accept my thanks for your
recommendation. Mathtalk-ga has answered the question admirably.  You
might enjoy reading his solution.