Getting Started
Include the following in your build.sbt file. SBT is the Simple Build Tool for Scala projects.
libraryDependencies += "com.github.jonnylaw" % "bayesian_dlm" % "0.3.1"
Read through the examples by navigating the documentation in the menubar above.
Features:
- Kalman Filter
- Kalman Smoother
- Forward-Filtering Backward Sampling (FFBS)
- Gibbs Sampling using d-Inverse Gamma Modelling
- Gibbs Sampling using the Inverse Wishart Distribution
- Metropolis Hastings Sampling
- Bootstrap Particle Filter for DGLMs
- Particle Gibbs Sampling
- Particle Gibbs with Ancestor Sampling