StateSpaceModels.jl is a Julia package for time-series analysis using state-space models.
Julia package for automatically generating Bayesian inference algorithms through message passing on Forney-style factor graphs.
Package implementing common state-space routines.
Julia package for simulating and estimating multi-level/hierarchical dynamic factor models (HDFMs).
Provides methods for a linear Gaussian State Space model such as filtering (Kalman filter), smoothing (Kalman smoother), forecasting, likelihood evaluation, and estimation of hyperparameters (Maximum Likelihood, Expectation-Maximization (EM), and Expectation-Conditional Maximization (ECM), w/ and w/o penalization)
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