https://github.com/lampspuc/statespacemodels.jl - 0.7.0

What's Changed

• Update unobserved_components.jl documentation by @guilhermebodin in https://github.com/LAMPSPUC/StateSpaceModels.jl/pull/325
• Bump compat for StatsBase to 0.34 by @bgroenks96 in https://github.com/LAMPSPUC/StateSpaceModels.jl/pull/326
• Better treatment for numerical errors by @guilhermebodin in https://github.com/LAMPSPUC/StateSpaceModels.jl/pull/330
• add explanatory variables to unobserved_components by @andreramosfdc in https://github.com/LAMPSPUC/StateSpaceModels.jl/pull/331
• Update minor version by @guilhermebodin in https://github.com/LAMPSPUC/StateSpaceModels.jl/pull/334

New Contributors

• @bgroenks96 made their first contribution in https://github.com/LAMPSPUC/StateSpaceModels.jl/pull/326
• @andreramosfdc made their first contribution in https://github.com/LAMPSPUC/StateSpaceModels.jl/pull/331

Full Changelog: https://github.com/LAMPSPUC/StateSpaceModels.jl/compare/v0.6.7...v0.7.0

- Julia
Published by guilhermebodin 11 months ago

https://github.com/lampspuc/statespacemodels.jl - v0.6.7

StateSpaceModels v0.6.7

Diff since v0.6.6

Closed issues: - Error with structural model and single precision (#195) - Unobserved components model with smooth trend is broken (#317)

Merged pull requests: - fix smooth trend (#319) (@guilhermebodin)

- Julia
Published by github-actions[bot] over 2 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.6.6

StateSpaceModels v0.6.6

Diff since v0.6.5

Closed issues: - max_q must be strictly positive? (auto arima) (#315)

Merged pull requests: - Fix orders constraints (#316) (@guilhermebodin)

- Julia
Published by github-actions[bot] over 3 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.6.5

StateSpaceModels v0.6.5

Diff since v0.6.4

Merged pull requests: - fixed cholesky error in simulate (#314) (@dietzemarina)

- Julia
Published by github-actions[bot] over 3 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.6.4

StateSpaceModels v0.6.4

Diff since v0.6.3

Closed issues: - Example in the Quick Start not working (#311)

Merged pull requests: - Fix plotdiagnostics(kf) (#312) (@guilhermebodin)

- Julia
Published by github-actions[bot] over 3 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.6.3

StateSpaceModels v0.6.3

Diff since v0.6.2

Closed issues: - simulate_scenarios for BasicStructuralExplanatory fails if seasonality is not 12 (#308)

Merged pull requests: - Fix basic structural with exogenous variables simulation (#309) (@guilhermebodin)

- Julia
Published by github-actions[bot] over 3 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.6.2

StateSpaceModels v0.6.2

Diff since v0.6.1

Closed issues: - BasicStructuralExplanatory works ONLY for s = 12. (#306)

Merged pull requests: - Fix Basic Structural Model with Explanatory (#307) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 4 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.6.1

StateSpaceModels v0.6.1

Diff since v0.6.0

Closed issues: - Possible Issue with Std.Error in SARIMA() (#304)

Merged pull requests: - Fix std err calculations (#305) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 4 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.6.0

StateSpaceModels v0.6.0

Diff since v0.5.21

Closed issues: - Investigate hessian instability (#193) - Allow Polynomials v2 in compat

Merged pull requests: - Allow Polynomials v2 (#302) (@raphaelsaavedra) - add some improvements (#303) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 4 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.21

StateSpaceModels v0.5.21

Diff since v0.5.20

Closed issues: - getsmoothedstate performance issues for larger time series (#297) - LAPACKException for missing/NaN values (#299)

Merged pull requests: - Fix missing values (#300) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 4 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.20

StateSpaceModels v0.5.20

Diff since v0.5.19

Closed issues: - Make an example where there are no hyperparameters (#167)

Merged pull requests: - Create doc_cleanup.yml (#291) (@guilhermebodin) - remove documenter key (#293) (@guilhermebodin) - Fix typo: "Hensen" should be "Hansen" (#294) (@azev77) - Vehicle Tracking model (#295) (@guilhermebodin) - Update Project.toml (#296) (@guilhermebodin) - fix performance of getters (#298) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 4 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.19

StateSpaceModels v0.5.19

Diff since v0.5.18

Closed issues: - Implement the AutoARIMA algorithm (#234)

Merged pull requests: - fix automatic forecasting docs (#289) (@guilhermebodin) - Add sparse kalman filter (#290) (@guilhermebodin)

- Julia
Published by github-actions[bot] over 4 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.18

StateSpaceModels v0.5.18

Diff since v0.5.17

Closed issues: - Scenarios of SARIMA (#285) - ExponentialSmoothing: AssertionError ub > lb (#287)

Merged pull requests: - fix es seasonal upper bound (#288) (@guilhermebodin)

- Julia
Published by github-actions[bot] over 4 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.17

StateSpaceModels v0.5.17

Diff since v0.5.16

Closed issues: - Implement naive and seasonal naive models (#238) - implement principal component analysis (#247) - Change backtest to crossvalidation (#269) - Possible SARIMA convergency issue (#271) - Add pushpreview on deploy docs (#273) - Add seasonal plot recipe (#280)

Merged pull requests: - Change from backtest to cross validation (#272) (@guilhermebodin) - Added quick examples (#274) (@guilhermebodin) - WIP: add KPSS Test (#276) (@iagochavarry) - Auto arima (#279) (@guilhermebodin) - Canova hansen test (#281) (@iagochavarry) - Add seasonal strength test (#283) (@iagochavarry)

- Julia
Published by github-actions[bot] over 4 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.16

StateSpaceModels v0.5.16

Diff since v0.5.15

Merged pull requests: - Naive models (#270) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.15

StateSpaceModels v0.5.15

Diff since v0.5.14

Merged pull requests: - fix explanatory (#268) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.14

StateSpaceModels v0.5.14

Diff since v0.5.13

Closed issues: - Implement BasicStructural Model with Exogenous variables (#265)

Merged pull requests: - Add scenarios exogenous in bse (#267) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.13

StateSpaceModels v0.5.13

Diff since v0.5.12

Merged pull requests: - Add BasicStructuralExplanatory (#266) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.12

StateSpaceModels v0.5.12

Diff since v0.5.11

Merged pull requests: - Add simulate function for time invariant multivariate systems (#264) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.11

StateSpaceModels v0.5.11

Diff since v0.5.10

Closed issues: - Implement Dynamic Autoregressive models (#240) - MethodError when calling kalman_smoother for LocalLevelExplanatory (#262)

Merged pull requests: - Add dynamic autoregressive model (#260) (@guilhermebodin) - fix kalman smoother for local level explanatory (#263) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.10

StateSpaceModels v0.5.10

Diff since v0.5.9

Merged pull requests: - separe unitroot function into assertstationarity and assert_invertibility (#259) (@iagochavarry) - bump version (#261) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.9

StateSpaceModels v0.5.9

Diff since v0.5.8

Closed issues: - Add a small example on README.md (#189) - Make an ETS that allows for all linear models (#233)

Merged pull requests: - Add ETS models (#254) (@guilhermebodin) - Improve table print and add model name (#255) (@guilhermebodin) - Fix ETS documentation (#256) (@guilhermebodin) - Add auto_ets function (#257) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.8

StateSpaceModels v0.5.8

Diff since v0.5.7

Closed issues: - Implement a plot to analyze the standard residuals (#242) - Problem using Kalman Filter (#243) - implement auto.arima (#248) - performance question (#249)

Merged pull requests: - Add residuals plots (#250) (@guilhermebodin) - fix WPI docs (#251) (@guilhermebodin) - Fix StatsBase Toml (#252) (@guilhermebodin) - fix statsbase on 0.33 (#253) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.7

StateSpaceModels v0.5.7

Diff since v0.5.6

Closed issues: - ARIMA model (#245)

Merged pull requests: - Fix idx forecast (#246) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.6

StateSpaceModels v0.5.6

Diff since v0.5.5

Closed issues: - Make Plot Recipes for Unobserved Components model (#232) - Make Plot Recipes for simulated scenarios (#235) - Implement a backtest procedure (#239)

Merged pull requests: - Add scenarios plots (#236) (@guilhermebodin) - Add UC plot recipe (#237) (@guilhermebodin) - Implement a backtest procedure (#244) (@guilhermebodin)

- Julia
Published by github-actions[bot] almost 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.5

StateSpaceModels v0.5.5

Diff since v0.5.4

Merged pull requests: - bug fix in constrain_box! (#229) (@guilhermebodin) - Added some docs for unobserved components (#230) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.4

StateSpaceModels v0.5.4

Diff since v0.5.3

Closed issues: - Add examples (#127) - Update optimization dependency (#181)

Merged pull requests: - SARIMA docs (#225) (@guilhermebodin) - Update documentation everywhere (#226) (@guilhermebodin) - Add Optim v1.2 to compat in Project.toml. (#227) (@pkofod) - Add UnobservedComponents (#228) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.3

StateSpaceModels v0.5.3

Diff since v0.5.2

Closed issues: - Add Plot recipes for forecasting and components (#170) - Discover how to evaluate p_values without Distributions.jl (#186) - Lead-time forecasting (#198) - Stable documentation points to 0.3 (#217)

Merged pull requests: - Add a mean term in ARIMA (#219) (@guilhermebodin) - Add SARIMA (#221) (@guilhermebodin) - Added a forecasting recipe (#223) (@guilhermebodin) - Fix project toml (#224) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.2

StateSpaceModels v0.5.2

Diff since v0.5.1

Closed issues: - request - return loglikehood of model without optimizing (#185) - Help with some pathological forecasts (#201) - Consider standardising the data internally (#206)

Merged pull requests: - Fix arima (#218) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.1

StateSpaceModels v0.5.1

Diff since v0.5.0

Merged pull requests: - Some doc improvements (#208) (@raphaelsaavedra) - Fix some math errors in docs (#209) (@raphaelsaavedra) - fix docs (#210) (@guilhermebodin) - Small docstring fixes (#211) (@raphaelsaavedra) - Add local level with explanatory variables (#215) (@guilhermebodin)

- Julia
Published by github-actions[bot] about 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.5.0

StateSpaceModels v0.5.0

Diff since v0.4.0

Closed issues: - Add ARIMA constructor (#116) - Add diagnostics struct to be returned after model is estimated (#130) - Function to update just the Kalman filter (#157) - Add time limit option to optimization (#158) - Add struct and print for the fit results (#166) - Add the multivariate kalman filter (#168) - Add and test an example with Cycles (#171) - Major to do's for 0.4 (#178)

Merged pull requests: - Refactoring to 0.5 (#174) (@raphaelsaavedra) - Add local level with cycle (#204) (@guilhermebodin) - Adjust code to Blue Style (#205) (@raphaelsaavedra) - [ci skip] Add Distributions compat (#207) (@guilhermebodin)

- Julia
Published by github-actions[bot] over 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.4.0

StateSpaceModels v0.4.0

Diff since v0.3.3

Closed issues: - Change forecast result to just distributions? (#199)

Merged pull requests: - Multivariate structural (#194) (@guilhermebodin) - Refactor forecast output (#200) (@juliohm)

- Julia
Published by github-actions[bot] over 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.3.3

StateSpaceModels v0.3.3

Diff since v0.3.2

Closed issues: - Potential assertion error (#131) - possible test failure in upcoming Julia version 1.5 (#155) - Add methods to simulate observations for a given StateSpaceSystem (#169) - Question about long structural cycles (#173) - Shift between forecast and simulation scenarions in 0.4 branch (#176)

Merged pull requests: - Update dependency versions (#144) (@raphaelsaavedra) - Update .gitignore (#145) (@raphaelsaavedra) - Add gif to docs (#146) (@guilhermebodin) - Update gif (#148) (@guilhermebodin) - Fix README (#150) (@raphaelsaavedra) - Update paper (#151) (@raphaelsaavedra) - Add reference to repo (#152) (@raphaelsaavedra) - Add asserts and additional tests (#153) (@raphaelsaavedra) - Add nile example (#154) (@guilhermebodin) - Add 1.4 and nightly to CI (#156) (@raphaelsaavedra) - add local level tests (#159) (@guilhermebodin) - Add more tests to the local level model (#160) (@guilhermebodin) - Added tests for basic structural and linear regression (#161) (@guilhermebodin) - Add docs, smoother and datasets (#162) (@guilhermebodin) - Working example (#163) (@guilhermebodin) - Updated some docs (#164) (@guilhermebodin) - updates (#165) (@guilhermebodin) - simulate observations (#172) (@guilhermebodin) - Fix project.toml and Travis (#175) (@raphaelsaavedra) - Fixed expectation bug for local level and structural model (#177) (@guilhermebodin) - Example linear trend (#179) (@guilhermebodin) - Fix hasfitmethods (#180) (@raphaelsaavedra) - Add fit! funtion (#184) (@guilhermebodin) - Add coefficients table (#187) (@guilhermebodin) - Address some TODO's (#188) (@raphaelsaavedra) - Fix docs Project.toml (#190) (@raphaelsaavedra) - Changes to public API (#191) (@raphaelsaavedra) - add forecast for univariate time variant (#192) (@guilhermebodin) - Fix 32-bit precision (#196) (@raphaelsaavedra)

- Julia
Published by github-actions[bot] over 5 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.3.2

StateSpaceModels v0.3.2

Diff since v0.3.1

Closed issues: - Documentation of estimate function is out of data (#136) - The function forecast should return a forecast not an array of distributions (#137) - Conflicting method definition (#143)

Merged pull requests: - big kappa should be 1e3 for sqrt filter (#138) (@guilhermebodin) - better regression test (#139) (@guilhermebodin) - Update Travis to travis-ci.com (#140) (@guilhermebodin) - Imporove docs and fix diagnostics (#141) (@guilhermebodin) - Install TagBot as a GitHub Action (#142) (@JuliaTagBot)

- Julia
Published by github-actions[bot] about 6 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.3.1

v0.3.1 (2019-11-29)

Diff since v0.3.0

Closed issues:

• Fix documentation for structural model (#132)
• Release 0.3.0 (#122)

Merged pull requests:

• update feature list (#135) (raphaelsaavedra)
• bump version for new release (#134) (raphaelsaavedra)
• return to MathJax, fix some issues with docs (#133) (raphaelsaavedra)
• fix docstrings (#129) (raphaelsaavedra)
• modify travis (#128) (raphaelsaavedra)

- Julia
Published by julia-tagbot[bot] about 6 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.3.0

v0.3.0 (2019-11-25)

Diff since v0.2.3

Closed issues:

• Forecast and Simulate are missing d and c matrices (#123)
• Add AIC and BIC as diagnostics for estimation (#121)
• Add Regression constructor (#118)
• Change StateSpaceModel definition (#115)
• Add BFGS as an optimization method (#112)
• Update docs (#106)
• Update paper with new changes (#104)
• Eliminate StateSpaceCovariance struct (#102)
• Implement diagnostics (#99)
• UnivariateKalmanFilter failing for log airline (#97)
• Implement EM algorithm for MLE (#79)

Merged pull requests:

• Add compats (#126) (guilhermebodin)
• Bump version (#125) (guilhermebodin)
• Added aic and bic, also improved opt_method (#124) (guilhermebodin)
• Added regression as method (#120) (guilhermebodin)
• Fixed LBFGS interface and added BFGS (#119) (guilhermebodin)
• Added mean adjustments (#117) (guilhermebodin)
• Eliminate StateSpaceCovariance (#113) (guilhermebodin)
• Add best seed optimization result as an option in verbose (#111) (guilhermebodin)
• fixing multivariate and adding test (#110) (raphaelsaavedra)
• improving some docstrings (#109) (raphaelsaavedra)
• add julia 1.1 and 1.2 to travis (#108) (raphaelsaavedra)
• change AbstractFloat to Real, fix some docstrings (#107) (raphaelsaavedra)
• Updating paper with new types and diagnostics (#105) (raphaelsaavedra)
• Definition of the structural model (#103) (marinadietze)
• Improve types (#101) (guilhermebodin)
• Add diagnostics (#100) (raphaelsaavedra)
• Adding tests to compare filters (#98) (raphaelsaavedra)
• Univariate filter (#96) (guilhermebodin)
• starting to bench structural models (#95) (guilhermebodin)
• Filter docs (#94) (guilhermebodin)
• Add citation (#93) (raphaelsaavedra)

- Julia
Published by julia-tagbot[bot] about 6 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.2.3

v0.2.3 (2019-08-08)

Diff since v0.2.2

Closed issues:

• Adjust steady state check for time-variant case (#76)
• Update airline example in docs to the version in examples.jl (#70)
• Update docs with new README (#69)

Merged pull requests:

• Fix Project.toml (#91) (raphaelsaavedra)
• Some docs updates (#90) (guilhermebodin)
• update_v and update_att (#89) (guilhermebodin)
• minor doc improvements (#88) (raphaelsaavedra)
• minor performance update (#87) (guilhermebodin)
• fix check steady state for sqrt filter (#86) (guilhermebodin)
• fix missing values performance regression (#85) (guilhermebodin)
• Kalman refact (#84) (guilhermebodin)
• Updating docs (#83) (raphaelsaavedra)
• small fix in docs (#82) (raphaelsaavedra)
• Updating docs (#81) (raphaelsaavedra)
• minor docs fix (#80) (raphaelsaavedra)
• Add DOIs (#78) (raphaelsaavedra)

- Julia
Published by julia-tagbot[bot] over 6 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.2.2

v0.2.2 (2019-07-07)

Diff since v0.2.1

Merged pull requests:

• Updating paper (#74) (raphaelsaavedra)
• Filtered state (#73) (raphaelsaavedra)
• add paper (#71) (raphaelsaavedra)
• improve readme (#68) (raphaelsaavedra)
• updating docs examples (#67) (raphaelsaavedra)

- Julia
Published by julia-tagbot[bot] over 6 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.2.1

v0.2.1 (2019-07-04)

Diff since v0.2.0

Closed issues:

• Improve documentation / docstrings (#27)

Merged pull requests:

• some doc updates (#66) (guilhermebodin)
• fixing show overload (#65) (raphaelsaavedra)
• added compat (#64) (guilhermebodin)
• fix uuid (#63) (guilhermebodin)
• New release to try to fix registrator (#62) (guilhermebodin)

- Julia
Published by julia-tagbot[bot] over 6 years ago

https://github.com/lampspuc/statespacemodels.jl - v0.2.0

Major changes to the package: added flexibility for filtering and optimization methods for estimation, user-defined models, and more.

- Julia
Published by raphaelsaavedra over 6 years ago

https://github.com/lampspuc/statespacemodels.jl - METADATA release

• Package is released to METADATA
• Documentation have some examples

- Julia
Published by guilhermebodin almost 7 years ago

https://github.com/lampspuc/statespacemodels.jl - julia 1.0 release

Migrated to julia 1.0 and made documentation for the package

- Julia
Published by guilhermebodin about 7 years ago

https://github.com/lampspuc/statespacemodels.jl - First stable release

- Julia
Published by raphaelsaavedra almost 8 years ago

https://github.com/lampspuc/statespacemodels.jl - First release

- Julia
Published by raphaelsaavedra almost 8 years ago