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jessegrabowski authored Aug 21, 2023
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# UPDATE

This repo is no longer maintained! Statespace models are now a part of [pymc-experimental](https://github.com/pymc-devs/pymc-experimental/), and are maintained by the PyMC development team. Please look over there for the most up-to-date Bayesian State Space models!

# PyMC StateSpace
A system for Bayesian estimation of state space models using PyMC 5.0. This package is designed to mirror the functionality of the Statsmodels.api `tsa.statespace` module, except within a Bayesian estimation framework. To accomplish this, PyMC Statespace has a Kalman filter written in Pytensor, allowing the gradients of the iterative Kalman filter likelihood to be computed and provided to the PyMC NUTS sampler.

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