QuantEcon.jl Made a kalman_filter method similar to kalman

Added kalman_sample to generate from model. Added example of 2d Kalman filtering and smoothing.

Feb 09 '19 02:02 murphyk

Thank you for your contribution!

Before we merge pull requests that add new library code, we ask that contributors write simple tests to ensure that their code functions as expected.

Would you be willing to do that?

I see that you provided an example (thank you!). Perhaps the example code could be re-used for the tests.

Feb 09 '19 15:02 sglyon

I have added some extra tests to test_kalman.jl. They pass locally on my laptop but Travis complains, I don't know why. (I am new to Julia and open source development...) I have temporarily commented out the new tests. Note that the call to smooth actually calls my new filter function, so is an indirect test of correctness :) But a direct test would be better. Would you mind telling me what I'm doing wrong?

Feb 09 '19 23:02 murphyk

Hey @murphyk from what I can tell the error on Travis has to do with a no method error when trying to call a Kalman instance like a function: https://travis-ci.org/QuantEcon/QuantEcon.jl/builds/491097872#L816

Does that sound familiar to you?

Feb 22 '19 13:02 sglyon

Made a kalman_filter method similar to kalman_smooth.