GSoC/GCI Archive
Google Summer of Code 2014 Python Software Foundation

Statsmodels: State Space Models

by cfulton for Python Software Foundation

This project would introduce general discrete time state space models to the Statsmodels' Time Series Analysis, provide a general structure for their representation, allow optimal estimation of unknown states via a performant multivariate Kalman filter, and provide specific functionality for the representation and estimation of the very common class of (Vector) Autoregressive Moving Average (VARMA) models.