Implement univariate treatment of multivariate case

LAMPSPUC / StateSpaceModels.jl

StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.

MIT License

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Open raphaelsaavedra opened 5 years ago

guilhermebodin commented 5 years ago

[x] Make a Kalman Filter specialized for univariate models.
[ ] Decide to take approach 1 or 2 from section 6.4.3 in Koopman book.
[ ] Discover how to make a loop of univariate state spaces and estimate them simultaneously.