qntwrsm/StateSpace.jl

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)

语言：Julia · GitHub 星标：4 · Fork：0

话题：filtering · julia · optimization · smoothing · state-space-models

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