StateSpace.jl

This is a package for state filtering, smoothing, and parameter estimation in state space models.

Provides methods for a state space model such as filtering (Kalman filter), smoothing (Kalman smoother), forecasting, likelihood evaluation, and estimation of hyperparameters (Maximum Likelihood, Expectation-Maximization (EM), and Expectation-Conditional Maximization (ECM), w/ and w/o penalization).

Currently only supports filtering, smoothing, and estimation for linear Gaussian state space models.

Contents

• Models
• Kalman Filter
• Kalman Smoother
• Estimation

Index

• StateSpace.Constant
• StateSpace.DynamicFactorModel
• StateSpace.DynamicNelsonSiegelModel
• StateSpace.Exogeneous
• StateSpace.Idiosyncratic
• StateSpace.Independent
• StateSpace.NoConstant
• StateSpace.SpatialErrorModel
• StateSpace.SpatialMovingAverageModel
• StateSpace.ecm!
• StateSpace.em!
• StateSpace.kalman_filter!
• StateSpace.kalman_smoother!
• StateSpace.kalman_smoother_cov!
• StateSpace.maximum_likelihood!