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joshday / OnlineStats.jl

⚡ Single-pass algorithms for statistics
https://joshday.github.io/OnlineStats.jl/latest/
MIT License
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Gaussian Filters i.e. Kalman Filters #233

Closed p-casgrain closed 3 years ago

p-casgrain commented 3 years ago

I think that Gaussian Filters are a super useful class of online statistics. It would be really nice to add these to the OnlineStats.jl roster.

I've spotted GaussianFilters.jl as a potential candidate for a backend. Using this package we can define some sort of class OnlineGaussianFilter <: OnlineStat which stores a GaussianBelief (the state) and an AbstractFilter (the model). The _fit! function can just rely on the update method that this package implements for the various implementations of AbstractFilter.

joshday commented 3 years ago

If the package authors of GaussianFilters want to work with OnlineStats, the solution would be for them to depend on OnlineStatsBase.