Linear State Space Models in Julia: Kalman filtering, smoothing, and estimation.
using Pkg
Pkg.add(url="https://github.com/gragusa/Siphon.jl")- AD-compatible Kalman filter/smoother
- Parameters estimation via EM algorithm or numerical optimization
- Missing data handling
- DSL for model specification with pre-built templates
See docs/ for full documentation and examples/ for worked examples.
MIT