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Merge pull request #2918 from ChadFulton/ss-cykfs
ENH: Statespace: New / improved Kalman filter, smoother, simulation smoother (feature branch)
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,17 @@ | ||
| # ## Math Functions | ||
| # Real and complex log and abs functions | ||
| from libc.math cimport log as dlog, abs as dabs | ||
| cimport numpy as np | ||
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| cdef extern from "numpy/npy_math.h": | ||
| np.float64_t NPY_PI | ||
| np.float64_t npy_cabs(np.npy_cdouble z) | ||
| np.npy_cdouble npy_clog(np.npy_cdouble z) | ||
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| cdef inline np.float64_t zabs(np.complex128_t z): | ||
| return npy_cabs((<np.npy_cdouble *> &z)[0]) | ||
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| cdef inline np.complex128_t zlog(np.complex128_t z): | ||
| cdef np.npy_cdouble x | ||
| x = npy_clog((<np.npy_cdouble*> &z)[0]) | ||
| return (<np.complex128_t *> &x)[0] |
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| Original file line number | Diff line number | Diff line change |
|---|---|---|
| @@ -0,0 +1,61 @@ | ||
| #cython: boundscheck=False | ||
| #cython: wraparound=False | ||
| #cython: cdivision=False | ||
| """ | ||
| State Space Models - Conventional Kalman Filter declarations | ||
| Author: Chad Fulton | ||
| License: Simplified-BSD | ||
| """ | ||
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| cimport numpy as np | ||
| from statsmodels.tsa.statespace._representation cimport ( | ||
| sStatespace, dStatespace, cStatespace, zStatespace | ||
| ) | ||
| from statsmodels.tsa.statespace._kalman_filter cimport ( | ||
| sKalmanFilter, dKalmanFilter, cKalmanFilter, zKalmanFilter | ||
| ) | ||
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| # Single precision | ||
| cdef int sforecast_missing_conventional(sKalmanFilter kfilter, sStatespace model) | ||
| cdef int supdating_missing_conventional(sKalmanFilter kfilter, sStatespace model) | ||
| cdef np.float32_t sinverse_missing_conventional(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) except * | ||
| cdef np.float32_t sloglikelihood_missing_conventional(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) | ||
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| cdef int sforecast_conventional(sKalmanFilter kfilter, sStatespace model) | ||
| cdef int supdating_conventional(sKalmanFilter kfilter, sStatespace model) | ||
| cdef int sprediction_conventional(sKalmanFilter kfilter, sStatespace model) | ||
| cdef np.float32_t sloglikelihood_conventional(sKalmanFilter kfilter, sStatespace model, np.float32_t determinant) | ||
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| # Double precision | ||
| cdef int dforecast_missing_conventional(dKalmanFilter kfilter, dStatespace model) | ||
| cdef int dupdating_missing_conventional(dKalmanFilter kfilter, dStatespace model) | ||
| cdef np.float64_t dinverse_missing_conventional(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) except * | ||
| cdef np.float64_t dloglikelihood_missing_conventional(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) | ||
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| cdef int dforecast_conventional(dKalmanFilter kfilter, dStatespace model) | ||
| cdef int dupdating_conventional(dKalmanFilter kfilter, dStatespace model) | ||
| cdef int dprediction_conventional(dKalmanFilter kfilter, dStatespace model) | ||
| cdef np.float64_t dloglikelihood_conventional(dKalmanFilter kfilter, dStatespace model, np.float64_t determinant) | ||
|
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||
| # Single precision complex | ||
| cdef int cforecast_missing_conventional(cKalmanFilter kfilter, cStatespace model) | ||
| cdef int cupdating_missing_conventional(cKalmanFilter kfilter, cStatespace model) | ||
| cdef np.complex64_t cinverse_missing_conventional(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) except * | ||
| cdef np.complex64_t cloglikelihood_missing_conventional(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) | ||
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| cdef int cforecast_conventional(cKalmanFilter kfilter, cStatespace model) | ||
| cdef int cupdating_conventional(cKalmanFilter kfilter, cStatespace model) | ||
| cdef int cprediction_conventional(cKalmanFilter kfilter, cStatespace model) | ||
| cdef np.complex64_t cloglikelihood_conventional(cKalmanFilter kfilter, cStatespace model, np.complex64_t determinant) | ||
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| # Double precision complex | ||
| cdef int zforecast_missing_conventional(zKalmanFilter kfilter, zStatespace model) | ||
| cdef int zupdating_missing_conventional(zKalmanFilter kfilter, zStatespace model) | ||
| cdef np.complex128_t zinverse_missing_conventional(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) except * | ||
| cdef np.complex128_t zloglikelihood_missing_conventional(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) | ||
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| cdef int zforecast_conventional(zKalmanFilter kfilter, zStatespace model) | ||
| cdef int zupdating_conventional(zKalmanFilter kfilter, zStatespace model) | ||
| cdef int zprediction_conventional(zKalmanFilter kfilter, zStatespace model) | ||
| cdef np.complex128_t zloglikelihood_conventional(zKalmanFilter kfilter, zStatespace model, np.complex128_t determinant) |
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