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Kalman filters #245

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yakir12 opened this issue Mar 24, 2022 · 2 comments
Open

Kalman filters #245

yakir12 opened this issue Mar 24, 2022 · 2 comments

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@yakir12
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yakir12 commented Mar 24, 2022

[Feature request] Wouldn't it be a perfect fit and make total sense to have a Kalman filter as one of the stats here?
@joshday
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joshday commented Mar 24, 2022

Yes, either that or to have an existing Kalman filter package depend on OnlineStatsBase.

I'm interested in adding it here, but I probably won't have the bandwidth to work on it anytime soon.

@guilhermebodin
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I could help in this case, we have a fairly performant Kalman filter implemented here https://github.com/LAMPSPUC/StateSpaceModels.jl/blob/master/src/filters/univariate_kalman_filter.jl

Currently, if we have all the matrices information (we don't need to estimate any parameters) the filter states are already calculated in an "online" manner.

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@yakir12 @joshday @guilhermebodin