statsmodels/statsmodels — pull request #1698 by ChadFulton (2014-05-27 16:40:33+00:00)
Title: Multivariate Kalman Filter

Here's a simple branch with the code added into statsmodels.tsa.statespace. A couple of thoughts

- At least in the dev process, I thought it might be nicer to keep it in its own module, rather than putting it with the kalmanf. I don't know what makes the most sense in the long run.
- I have unit tests that rely on the statespace model, but I'm rewriting them so the KF pull request can be done on its own without other dependencies, especially since the statespace model is likely to change.