Research-related:

-  Code, data and cool videos for learning stable Linear Dynamical System (LDS) models from data (NIPS 07): here
    
Resources Links:

- Useful matrix calculus identities:
                Sam Roweis's webpage

- An online book on Convex Optimization:
               Boyd and  VandeNberghe

- An online book on Matrix Differential Calculus:
               Magnus and NEUdeCker

- A  tutorial on HMMs:
              Rabiner