viking

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State-Space Models Inference by Kalman or Viking

Joseph de Vilmarest

Last update: 6 October 2023

Copyright license: GNU Lesser General Public License, version 3.0

Software version identifier: 1.0.0, 1.0.1, 1.0.2

Description

Inference methods for state-space models, relying on the Kalman Filter or on Viking (Variational Bayesian VarIance tracKING). See J. de Vilmarest (2022) <https://theses.hal.science/tel-03716104/>.

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