ENH: State space models #2250
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ENH: State space models #2250
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… double precision, complex, and double precision complex.
…g symmetric matrices (dsymm) for double precision reals.
… symmetric matrix multiplication.
… by *gemm calls for now.
This matrix is useful for smoothers.
…l state error term.
… double precision, complex, and double precision complex.
…g symmetric matrices (dsymm) for double precision reals.
… symmetric matrix multiplication.
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This formatting looks very "weird" to me |
merging this Thanks to Chad and everyone that helped and reviewed |
@josef-pkt @ChadFulton FWIW this has broken Travis with Cythonize errors. |
This appears to be an issue with cython 0.22. It built fine on cython 0.21.2 on my machine. |
@bashtage where do you see those errors? |
Cython was updated on Anaconda in the last couple of hours. Maybe these should be Also reasonably likely Cython is broken. |
That explains why it didn't fail a few hours ago.
something like this for indices. |
Simple fix, which I will submit a PR for in a sec. |
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Adds state space model estimation via a Cython Kalman filter implementation along with Python wrappers and an SARIMAX estimation class.
See #1698 for development details, discussion.