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Larkin Poe Interview

Posted on 10 July 2020 by ecoquant

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← Indiara Safir: “Amazing Grace”, “Carlos & Maria”, “Time”

“Inferring change points in the spread of COVID-19 reveals the effectiveness of interventions” →

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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