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JuliaStats / TimeModels.jl

Modeling time series in Julia
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WIP: EM Estimation #57

Closed GordStephen closed 8 years ago

GordStephen commented 8 years ago

Introduces the ParametrizedMatrix, ParametrizedSSM, and SSMParameters types for linear-constrained EM parameter estimation, and some initial work on the EM algorithm itself (mainly copy/pasted from another local development branch - needs to be updated to work with time-varying parameter matrices, among other things). Also incorporates the notation changes from #55. Supplants #43.

GordStephen commented 8 years ago

Ok, EM estimation is up and running although there's still a lot more testing needed. This is a pretty big feature so I'm going to hold off on tagging 0.1.0 until this is mergeable - future 0.1.x updates can then build specific time series models on top of it, and improve efficiency with sparse matrix implementations and possible less-general versions (full time-dependent parameter matrices are overkill for a lot of basic models, for example).

GordStephen commented 8 years ago

If there aren't any objections, I'll merge this later this weekend and tag 0.1.0.