This is a retake of a presentation at the invitation of the Walpole Greens and made at their meeting of 9th November 2020. It is longer and more leisurely. I interleave some of the answers to questions that followed the … Continue reading →
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