Python library for state-space models


Keywords
ssm, markov, python, scientific, state-space-model, time-series
License
Apache-2.0
Install
pip install pssm==0.0.16

Documentation

Build Status PyPI version Downloads

Python state-space models (pssm)

A Python package for state-space models. Basic usage in the example notebooks.

Features

  • Dynamic Generalised Linear Models
    • Normal DLM
    • Poisson DLM
    • Binomial DLM
    • iterator
  • Model composition
    • Locally constant
    • Locally linear
    • Cyclic Fourier
    • ARMA(p)
  • Multivariate
    • Composite DGLMs
    • Multivariate Gaussian
  • Filters
    • Kalman filter