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Make access to matrices of the Kalman filter easier #6

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spmvg opened this issue Jan 29, 2022 · 0 comments
Open
2 tasks

Make access to matrices of the Kalman filter easier #6

spmvg opened this issue Jan 29, 2022 · 0 comments

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@spmvg
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spmvg commented Jan 29, 2022

Darts uses the Kalman filter to bootstrap a dataset based on the fitted covariances (see #1 (comment)). To do this, access to undocumented (but not private) attributes is necessary: see https://github.com/unit8co/darts/pull/692/files.

FYI I thought about integrating the dataset generation method that Darts uses into nfoursid, but I decided I could better provide the tools + documentation necessary.

  • Determine which attributes should be documented, and which attributes should get an easier API (for example: we ideally don't want to do ...[-1] in production code).
  • Implement the documentation and easier API
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