“Gray matters [not much, truly]” (Christian Robert)

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“Gray matters [not much, truly]” (Christian Robert)

Posted on 20 March 2015 by ecoquant

Gray matters [not much, truly].

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About ecoquant

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This entry was posted in atheism, Boston Ethical Society, capricious gods, citizenship, civilization, education, ethics, history, politics, rationality, reasonableness, the right to know. Bookmark the permalink.

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Kalman filtering and smoothing; dynamic linear models

Also, see datasets and R examples to accompany this excellent text.

I have used dlm almost exclusively, except when extreme efficiency was required. Since Jouni Helske's KFAS was rewritten, though, I'm increasingly drawn to it, because the noise sources it supports are more diverse than dlm's. KFAS uses the notation and approaches of Durbin, Koopman, and Harvey.

``The real problem is that programmers have spent far too much time worrying about efficiency in the wrong places and at the wrong times; premature optimization is the root of all evil (or at least most of it) in programming.''
Professor Donald Knuth, 1974
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