Move Kalman functionality to ElOceanografo/StateSpace.jl

GordStephen commented 8 years ago

That way TimeModels.jl can just focus on specifying particular time series models (ARIMA-family, structural time series, GARCH, etc) and providing algorithms and a nice interface for parameter estimates. More generally this would avoid duplicating development efforts as well.

Elements that would be removed here and rely on StateSpace.jl:

[ ] StateSpaceModel type
[ ] Standalone Kalman filtering (faster than standalone Kalman smoothing for non-EM parameter fitting)
[ ] Kalman smoothing given a filtered model (currently implemented via Rauch-Tung-Striebel. Not a dependency for other parts of the package)
[ ] Standalone Kalman smoothing (Currently implemented via Durbin-Koopman. Necessary for EM parameter fitting)

milktrader commented 8 years ago

I'm personally in favor of making TimeModels more modest with (as mentioned above) support for ARIMA, GARCH, and perhaps some tests that haven't found a home in StatsBase.

I have a list of those tests somewhere ...

milktrader commented 8 years ago

https://github.com/JuliaStats/TimeModels.jl/issues/23

JuliaStats / TimeModels.jl

Move Kalman functionality to ElOceanografo/StateSpace.jl #54