https://github.com/ruivieira/python-ssm

Python state-space models
https://github.com/ruivieira/python-ssm

markov python scientific state-space-model time-series

Last synced: about 1 year ago
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Python state-space models

• Host: GitHub
• URL: https://github.com/ruivieira/python-ssm
• Owner: ruivieira
• License: apache-2.0
• Created: 2017-09-06T11:13:34.000Z (almost 9 years ago)
• Default Branch: master
• Last Pushed: 2021-05-09T21:14:37.000Z (about 5 years ago)
• Last Synced: 2024-12-06T19:38:38.675Z (over 1 year ago)
• Topics: markov, python, scientific, state-space-model, time-series
• Language: Python
• Homepage: https://ruivieira.github.io/python-ssm/
• Size: 4.96 MB
• Stars: 2
• Watchers: 3
• Forks: 1
• Open Issues: 2
• Metadata Files:
  • Readme: README.md
  • Changelog: CHANGELOG.md
  • License: LICENSE.txt

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# Python state-space models (`pssm`)

A Python package for state-space models. Basic usage in the [example notebooks](docs/state_space_models.ipynb).

Documentation can be found [here](https://ruivieira.github.io/python-ssm/).

# Features

- [ ] Dynamic Generalised Linear Models

  - [x] Normal DLM

  - [x] Poisson DLM

  - [x] Binomial DLM

  - [x] `iterator`

- [ ] Model composition

  - [x] Locally constant

  - [x] Locally linear

  - [x] Cyclic Fourier

  - [x] ARMA(_p_)

- [ ] Multivariate

  - [x] Composite DGLMs

  - [ ] Multivariate Gaussian

- [ ] Filters

  - [x] Kalman filter