search

RJT1990 / pyflux

Open source time series library for Python
BSD 3-Clause "New" or "Revised" License
2.11k stars 239 forks source link

Fix Kalman Smoother #13

Closed RJT1990 closed 8 years ago

RJT1990 commented 8 years ago

Bug in the recursions for the Kalman smoother; now fixed and will be part of the next release.

RJT1990 commented 8 years ago

This bug was also, by extension, leading to suboptimal starting points for the non-Gaussian models (the state variances). So the fix now should considerably speed up convergence for these models too.