pykalman/pykalman — pull request #31 by jennan (2014-08-19 16:23:55+00:00)
Title: Multiple sequences EM for standard Kalman Filter

Hello,

I have implemented a multiple sequence EM based on "Ghahramani and Hinton, 1996, Parameter estimation for linear dynamical systems". It introduced new method 'em_multiple' and function '_em_multiple' and generalized existing update functions for M step to work on multiple sequences (well, technically I squeeze a list of numpy arrays into one array with vstack and keep indices of the beginning of each sequence). Everything else should still work, but an extra layer is added, as _em_multiple is more general than _em.

But, loglikelihood method has not been adapted to work with multiple sequences, thats why I consider the test I added as 'dirty'. And varying parameters should crash with multiple sequences, due to the way I implement the E step of EM.

Well, please let me know if it is clean enough or what change you would like to see to accept this contribution.

Best regards.