I.N. Sinitsyn, V.I. Sinitsyn, E.R. Korepanov. V.V. Belousov, T.D. Konashenkova, I.V. Sergeev, E.S. Agafonov, D.A. Basilashvili

The article proceeds the thematic cycle of software tools for analysis and synthesis of the discrete linear Kalman filters for stochastic systems (StS) with high availability based on canonical expansions of random functions. Sections 2 and 3 are dedicated to the discrete linear Kalman filters for discrete StS with uncorrelated and correlated noises. In section 4 the discrete linear Kalman filter for continuous StS is considered. Sections 5 and 6 are developed to the various canonical versions of discrete Kalman filters. In section 7 canonical dynamical factor analysis is considered. The typical examples and practical aspects of software tools design are detailly considered in Appendices 1-5.