GitHub repository: qntwrsm/StateSpace.jl
Primary language: Julia
Created: 2022-03-23T15:13:30Z
Description: Provides methods for a linear Gaussian State Space model such as filtering (Kalman filter), smoothing (Kalman smoother), forecasting, likelihood evaluation, and estimation of hyperparameters (Maximum Likelihood, Expectation-Maximization (EM), and Expectation-Conditional Maximization (ECM), w/ and w/o penalization)