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I wonder if someone knows whether pymc-experimental has implemented a simulation smoother? If so, where can I find more information about its use? |
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I don't know what that is, and I'm sure there is nothing like it in the library. Do you have an easy to digest reference? |
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The only source I know is statsmodels. However, it provides the simulation smoother outputs as numpy arrays, not as inference data object. The equations are in the book of Durbin & Koopmans 2012.Sent from Outlook for Android<https://aka.ms/AAb9ysg> …________________________________From: Ricardo Vieira ***@***.***>Sent: Monday, April 29, 2024 6:47:50 PMTo: pymc-devs/pymc-experimental ***@***.***>Cc: Roland Klees ***@***.***>; Author ***@***.***>Subject: Re: [pymc-devs/pymc-experimental] Simulation smoother implemented in pymc-experimental? (Discussion#339)I don't know what that is, and I'm sure there is nothing like it in the library. Do you have an easy to digest reference?—Reply to this email directly, view it on GitHub<#339 (comment)>, or unsubscribe<https://github.com/notifications/unsubscribe-auth/AWKBIZLLZYFIP4O7SO7TP7TY7Z2TNAVCNFSM6AAAAABG6DC4YCVHI2DSMVQWIX3LMV43SRDJONRXK43TNFXW4Q3PNVWWK3TUHM4TENRVGY3DA>.You are receiving this because you authored the thread.Message ID: ***@***.***> |
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No, we only have the RTS smoother. Contributions are welcome if that's something important to you :) |
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