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ENH: State space models #2250

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merged 173 commits into from Feb 12, 2015

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ChadFulton commented Feb 12, 2015

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.

ChadFulton and others added some commits Nov 2, 2013

Refactored python kalman filter; added versions for single precision,…
… double precision, complex, and double precision complex.
ENH: Added blas functions for copying data (dcopy) and for multiplyin…
…g symmetric matrices (dsymm) for double precision reals.
Refactored python kalman filter; added versions for single precision,…
… double precision, complex, and double precision complex.
ENH: Added blas functions for copying data (dcopy) and for multiplyin…
…g symmetric matrices (dsymm) for double precision reals.
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This formatting looks very "weird" to me

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josef-pkt commented Feb 12, 2015

merging this

Thanks to Chad and everyone that helped and reviewed

josef-pkt added a commit that referenced this pull request Feb 12, 2015

@josef-pkt josef-pkt merged commit f88cd69 into statsmodels:master Feb 12, 2015

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@josef-pkt josef-pkt added this to the 0.7 milestone Feb 12, 2015

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bashtage commented Feb 12, 2015

@josef-pkt @ChadFulton FWIW this has broken Travis with Cythonize errors.

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bashtage commented Feb 12, 2015

This appears to be an issue with cython 0.22. It built fine on cython 0.21.2 on my machine.

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josef-pkt commented Feb 12, 2015

@bashtage where do you see those errors?
The test runs are green and I don't see anything spot checking the logs

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bashtage commented Feb 12, 2015

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bashtage commented Feb 12, 2015

Cython was updated on Anaconda in the last couple of hours.

Maybe these should be Py_ssize_t ?

Also reasonably likely Cython is broken.

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josef-pkt commented Feb 12, 2015

Cython was updated on Anaconda in the last couple of hours.

That explains why it didn't fail a few hours ago.

Maybe these should be Py_ssize_t ?

something like this for indices.

@jseabold ?

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ChadFulton commented Feb 12, 2015

Simple fix, which I will submit a PR for in a sec.

@ChadFulton ChadFulton deleted the ChadFulton:statespace branch Jan 16, 2016

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