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Rao-Blackwellized particle filters for quasiperiodic Gaussian processes

A Rao-Blackwellized particle filter for a model with Poisson-distributed observations whose log-intensity follows a quasiperiodic Gaussian process.

Documentation in


NumPy, GPy. matplotlib for plotting. Python 3.5 due to the matrix multiplication operator.

Files -- contains the filter and the Particle independent Metropolis-Hastings sampler. -- script for running the experiment in the blog post. -- resampling algorithms (c) Roger R Labbe Jr.

License information

Copyright (c) Juho Kokkala 2016 (except the file All files in this repository are licensed under the MIT License. See the file LICENSE or

The file is Copyright (c) Roger R Labbe Jr. 2015, taken from the filterpy package, - also licensed under the MIT License.