EmABCDQR.jl is a Julia package to estimate the state space model
x_{t+1} = Ax_{t} + Bu_{t} + w_{t}
y_{t} = Cx_{t} + Du_{t} + v_{t}
where w_{t} -> N(0,Q), v_{t} -> N(0,R)
using the Expectation-Maximization algorithm.
To install the package, from within Julia do
julia> Pkg.clone("git@github.com:javiercara/EmABCDQR.jl.git")
- Javier Cara, ETSI Industriales, Universidad Politecnica de Madrid (Spain)