You signed in with another tab or window. Reload to refresh your session.You signed out in another tab or window. Reload to refresh your session.You switched accounts on another tab or window. Reload to refresh your session.Dismiss alert
That way TimeModels.jl can just focus on specifying particular time series models (ARIMA-family, structural time series, GARCH, etc) and providing algorithms and a nice interface for parameter estimates. More generally this would avoid duplicating development efforts as well.
Elements that would be removed here and rely on StateSpace.jl:
StateSpaceModel type
Standalone Kalman filtering (faster than standalone Kalman smoothing for non-EM parameter fitting)
Kalman smoothing given a filtered model (currently implemented via Rauch-Tung-Striebel. Not a dependency for other parts of the package)
Standalone Kalman smoothing (Currently implemented via Durbin-Koopman. Necessary for EM parameter fitting)
The text was updated successfully, but these errors were encountered:
I'm personally in favor of making TimeModels more modest with (as mentioned above) support for ARIMA, GARCH, and perhaps some tests that haven't found a home in StatsBase.
That way TimeModels.jl can just focus on specifying particular time series models (ARIMA-family, structural time series, GARCH, etc) and providing algorithms and a nice interface for parameter estimates. More generally this would avoid duplicating development efforts as well.
Elements that would be removed here and rely on StateSpace.jl:
The text was updated successfully, but these errors were encountered: