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ENH: State space models #2250

Merged
merged 173 commits into from Feb 12, 2015
Merged

ENH: State space models #2250

merged 173 commits into from Feb 12, 2015

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ChadFulton
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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.

ChadFulton and others added 30 commits February 11, 2015 21:51
@ChadFulton
Adding Cython and pure Python general Kalman Filter estimators.
42eb719
@ChadFulton
Added methods separating the iteration of the Kalman filter from its …
7f7fc0d 
…setup.
@ChadFulton
Fixed issues with Kalman filter and added the initial values as optio…
0092983 
…nal arguments.
@ChadFulton
Refactored python kalman filter; added versions for single precision,…
e37004b 
… double precision, complex, and double precision complex.
@ChadFulton
FIX: Fixed problem with calculating initial values.
977eaca
@ChadFulton
ENH: Added blas functions for copying data (dcopy) and for multiplyin…
db79fce 
…g symmetric matrices (dsymm) for double precision reals.
@ChadFulton
DOC: Fix typo
ea6c0ba
@ChadFulton
ENH: Added *copy and *symm BLAS functions for faster data copying and…
4463abb 
… symmetric matrix multiplication.
@ChadFulton
FIX: *symm BLAS functions not available prior to scipy 0.13. Replaced…
ede921a 
… by *gemm calls for now.
@ChadFulton
FIX: Created single precision arrays correctly.
7673e8c
@ChadFulton
FIX: Typo in zcopy function declaration.
4b5903d
@ChadFulton
ENH: Made weakly exogenous data z and associated parameter matrix A o…
e355192 
…ptional.
@ChadFulton
ENH: Allowed iterations to use simpler inversion calculation when n=1.
9511e1c
@ChadFulton
FIX: Fixed error in vector length using *copy.
f5b74be
@ChadFulton
ENH: Added Cholesky decomposition.
114db4a
@ChadFulton
ENH: Improved performance by considering steady-stage convergence
84a022a
@ChadFulton
FIX: Updated convergence tolerance so that unit tests pass.
818d894
@ChadFulton
ENH: Added storage of inverse prediction error covariance matrix.
5490a14 
This matrix is useful for smoothers.
@ChadFulton
ENH: Added support for non-positive definite covariance matrix of ful…
82dc0a4 
…l state error term.
@ChadFulton
ENH: Added support for non-positive definite Q matrices.
4a82017
@ChadFulton
MAINT: Added readme and added license
2c2fa78
@jseabold @ChadFulton
COMPAT: Allow Python 3 compatibility. Closes #2.
6ac82fd
@ChadFulton
Refactored python kalman filter; added versions for single precision,…
3614ec1 
… double precision, complex, and double precision complex.
@ChadFulton
ENH: Added blas functions for copying data (dcopy) and for multiplyin…
47ea32e 
…g symmetric matrices (dsymm) for double precision reals.
@ChadFulton
ENH: Added *copy and *symm BLAS functions for faster data copying and…
d21cfb7 
… symmetric matrix multiplication.
@ChadFulton
DOC: Documented *copy arguments
d5849dd
@ChadFulton
FIX: Improved descriptions of arguments.
dcca501
@ChadFulton
ENH: Added Cholesky decomposition.
9a9e3b4
@jseabold @ChadFulton
COMPAT: Allow Python 3 compatibility. Closes #2.
6b68bdb
@ChadFulton
ENH: Added Kalman filter to build
2d7db3a
@ChadFulton
ENH: Variable parameters / parameter documentation
c49335e 
- Removes *args
- Replaces **kwargs where appropriate
- Improved parameter documentation, including
  **kwargs where it is used.
@ChadFulton
DOC: Fix confidence intervals in notebook.
a0c0c63
@ChadFulton
DOC: Fix local linear trend notebook Heading.
711d869
@ChadFulton
DOC: Fix sarimax stata notebook Heading.
3424df0
@ChadFulton
ENH: Add ad-hoc MLE estimation.
535e357
@ChadFulton
DOC: Improve documentation
a3025b9
@ChadFulton
TST: Reverse 3ad4a35; skip single precision tests.
e80d6a6
@ChadFulton
TST: Increase tolerance to pass cross-platform
b0f9388
@ChadFulton
TST: Skip remaining single precision tests.
4dd63a7
@ChadFulton
REF: rename params_included to param_terms
7a3e954
@ChadFulton
REF: Rename params_names to param_names
2b16a96
@ChadFulton
REF: Add parameter names to model data
a5965c9
@ChadFulton
REF: Rename loglikelihood attribute to llf_obs
2fc71e3
@ChadFulton
REF: Moved model attributes to specification dict
1479460
@josef-pkt josef-pkt mentioned this pull request Feb 12, 2015
Merged
@josef-pkt
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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
Merge pull request #2250 from ChadFulton/statespace
f88cd69 
ENH: State space models
@josef-pkt josef-pkt merged commit f88cd69 into statsmodels:master Feb 12, 2015
@josef-pkt josef-pkt added this to the 0.7 milestone Feb 12, 2015
@bashtage
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@josef-pkt @ChadFulton FWIW this has broken Travis with Cythonize errors.

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

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

@bashtage
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https://travis-ci.org/statsmodels/statsmodels

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

Maybe these should be Py_ssize_t ?

Also reasonably likely Cython is broken.

@josef-pkt
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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 ?

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

@hxu hxu mentioned this pull request Jul 7, 2015
Closed
@ChadFulton ChadFulton deleted the statespace branch January 16, 2016 08:47
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@ChadFulton @josef-pkt @bashtage @jseabold