No description, website, or topics provided.
Python
Switch branches/tags
Nothing to show
Clone or download
Fetching latest commit…
Cannot retrieve the latest commit at this time.
Permalink
Failed to load latest commit information.
LICENSE
README.md
rbpf.py
resampling.py
test.py

README.md

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 http://www.juhokokkala.fi/blog/posts/rao-blackwellized-particle-filters-for-quasiperiodic-gaussian-processes/

Requirements

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

Files

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

License information

Copyright (c) Juho Kokkala 2016 (except the file resampling.py). All files in this repository are licensed under the MIT License. See the file LICENSE or http://opensource.org/licenses/MIT.

The file resampling.py is Copyright (c) Roger R Labbe Jr. 2015, taken from the filterpy package, http://github.com/ - also licensed under the MIT License.