EmACQR.jl
is a Julia package to estimate the ACQR state space model using the Expectation-Maximization algorithm.
The ACQR model is:
x_{t+1} = Ax_{t} + w_{t}
y_{t} = Cx_{t} + v_{t}
where w_{t} -> N(0,Q), v_{t} -> N(0,R)
To install the package, from within Julia do
julia> using Pkg; Pkg.add(PackageSpec(url="https://github.com/javiercara/EmACQR.jl", rev="master"))
- Javier Cara, [email protected], ETSI Industriales, Universidad Politecnica de Madrid (Spain).