MATLAB is a high-level technical computing language and interactive environment for algorithm development, data visualization, data analysis, and numerical computation. Using MATLAB, you can solve technical computing problems faster than with traditional programming languages, such as C, C++, and Fortran.
This is code implements the example given in pages 11-15 of An Introduction to the Kalman Filter by Greg Welch and Gary Bishop, University of North Carolina at Chapel Hill, Department of Computer Science.
FreeMat is a free environment for rapid engineering and scientific prototyping and data processing. It is similar to commercial systems such as MATLAB from Mathworks, and IDL from Research Systems, but is Open Source. FreeMat is available under the GPL license.