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I’m trying to implement a kalman filter algorithm within vba excel.
Would you like to help on it?

The model I want to use is :
X(t+1) = A + B*X(t) + u(t) u ~ N(0,Q); N where stands for Normal Distribution.
Y(t) = C + D*S(t) + e(t) e ~ N(0,v)

X(t) is the state (non variable and Y(t) the measurement
X(t) is p x 1 matrix
A is p x 1 matrix
B is p x p matrix
u(t) p-multi-Normal Distribution, ie a realisation of u(t) is p x 1 matrix. Therefore Q is p x p covariance matrix.
Y(t) is n x 1 matrix, n is the number of observations.
C is n x 1 matrix,
D is n x p matrix,
e(t) is n x 1 matrix, a Normal Distribution, a realisation of e(t) is a real number

Here are some link where the algorithm can be red
http://www.cs.ubc.ca/~murphyk/Software/Kalman/kalman.html
http://www.jstatsoft.org/v39/i02/paper

thank
Zoul