I am a third-year PhD student in Statistics at the London School of Economics and Political Science.
I just released the first version of
TSAnalysis (https://github.com/fipelle/TSAnalysis.jl). This package includes basic tools for time series analysis and state-space modelling. I plan to create an environment for forecasting centred on
TSAnalysis and based on my doctoral research.
TSAnalysis is written entirely in Julia (for now, it is a rather small package). In addition to simple Arrays, it uses data structures from
LinearAlgebra for symmetric and diagonal matrices. This is particularly beneficial for the stability and speed of Kalman routines, estimation algorithms (e.g., the EM algorithm in Shumway and Stoffer, 1982), and to handle high-dimensional forecasting problems.
This is my first Julia package - any feedback is very welcome!
- R. H. Shumway and D. S. Stoffer. An approach to time series smoothing and forecasting using the EM algorithm. Journal of time series analysis, 3(4):253–264, 1982.