This book is a companion to the textbook “Filtering and System Identification,

An Introduction” by Michel Verhaegen and Vincent Verdult. It describes and il-lustrates the use of Matlab programs for a number of algorithms presented in the

textbook. The Matlab programs, bundled in a toolbox, can be found as down-load on the publishers website. The goal of this companion book is twofold.

First, it helps to clarify some of the theoretical matter of the textbook using ex-amples. Second, it describes how to perform many of the filtering and system

identification operations using the toolbox software.