Python state-space models (pssm)

A Python package for state-space models. Basic usage in the example notebooks.

Documentation can be found here.

Features

• Dynamic Generalised Linear Models
  • Normal DLM
  • Poisson DLM
  • Binomial DLM
  • iterator
• Model composition
  • Locally constant
  • Locally linear
  • Cyclic Fourier
  • ARMA(p)
• Multivariate
  • Composite DGLMs
  • Multivariate Gaussian
• Filters
  • Kalman filter