milktrader/TimeModels.jl — pull request #1 by ElOceanografo (2013-06-14 03:21:44+00:00)
Title: Kalman filter

Hi there--I've written a basic Kalman filter to add to the package. It's still a little rough and I haven't tested it very rigorously, but it's working. This could be useful for building time series modeling functionality: R uses MLE based on a Kalman filter as the engine behind their standard "arima" function.

Take a look and let me know what you think; there's a test script in there too that shows the basic usage.

Cheers,

Sam