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Kalman filter log-likelihood#713

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MichaelClerx wants to merge 2 commits intomainfrom
issue-433-kalman-filter
Open

Kalman filter log-likelihood#713
MichaelClerx wants to merge 2 commits intomainfrom
issue-433-kalman-filter

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@MichaelClerx
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@MichaelClerx MichaelClerx commented Feb 15, 2019

Fixes #433

@ben18785
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@martinjrobins Interesting to compare this to AR1 model as think they're the same although estimation approach is different (you use the Kalman filter to compute the log-likelihood, I use another approach).

@MichaelClerx MichaelClerx force-pushed the master branch 2 times, most recently from 7fc9de0 to 02be2f5 Compare February 22, 2019 11:29
@MichaelClerx MichaelClerx force-pushed the issue-433-kalman-filter branch from 1ed36e3 to 77050eb Compare April 17, 2019 12:53
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codecov bot commented Apr 17, 2019

Codecov Report

✅ All modified and coverable lines are covered by tests.
✅ Project coverage is 100.00%. Comparing base (82471f9) to head (d8ac869).
⚠️ Report is 1965 commits behind head on main.

Additional details and impacted files
@@            Coverage Diff            @@
##              main      #713   +/-   ##
=========================================
  Coverage   100.00%   100.00%           
=========================================
  Files           68        68           
  Lines         7230      7230           
=========================================
  Hits          7230      7230           

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@MichaelClerx
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Fixed the git mess I made here. Please delete local copy and re-check out before continuing work on this

@ben18785
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@martinjrobins this is an oldie but a goodie. Think we might as well try and include it, so long as we have some tests written...

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Kalman filter log-likelihood

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