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JuliaStats / TimeModels.jl

Modeling time series in Julia
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Kalman filter #1

Closed ElOceanografo closed 11 years ago

ElOceanografo commented 11 years ago

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

milktrader commented 11 years ago

I've had so little time lately I'm glad to merge this. Getting something working is a good start.