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econsieve

Collection of linear & nonlinear (Kalman) Filters for economic DSGE models

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  • EconSieve - Transposed-Ensemble Kalman Filter (TEnKF) and Nonlinear Path-Adjusting Smoother (NPAS)
    • Installation with pip
    • Installation of bleeding-edge version using git
    • Updating
    • Citation
  • Documentation
    • econsieve.tenkf
    • econsieve.ukf
    • econsieve.stats
    • econsieve.sigma_points
    • econsieve.kalman_filter
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