krzysztofrusek / algae

Aggregated Linear Gaussian State Space Models

Algae

Aggregated Linear Gaussian State Space Models

This repository contains experimental research code for Linear Gaussian State Space Model estimation from time series at different aggregation level. Below one can see what happenes to the AR coefficient posterior estimated from 5 samples when additional 5 4-aggregated samples were used in the model.

For more information check our demo notebook

Acknowledgment

This work was supported by the National Science Centre, Poland under grant nr 2019/03/X/ST7/00386 and by the the PL-Grid Infrastructure.