Walt Disney World: November 2015

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Walt Disney World: November 2015

Posted on 19 December 2015 by ecoquant

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← on the exquisitely fragile, blue ball, with all the life we know everywhere, and ever was

Michael Osborne on Predictable Renewable Energy →

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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
author