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Kalman filter log-likelihood #713
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@martinjrobins Interesting to compare this to AR1 model as think they're the same although estimation approach is different (you use the Kalman filter to compute the log-likelihood, I use another approach). |
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Codecov Report
@@ Coverage Diff @@
## master #713 +/- ##
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Coverage 100% 100%
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Files 68 52 -16
Lines 7230 5022 -2208
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- Hits 7230 5022 -2208
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Fixed the |
@martinjrobins this is an oldie but a goodie. Think we might as well try and include it, so long as we have some tests written... |
Fixes #433