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HMMs

Casino HMM: Inference (state estimation)
Casino HMM: Learning (parameter estimation)
Gaussian HMM: Cross-validation and Model Selection
Autoregressive (AR) HMM Demo

Linear Gaussian SSMs

Tracking an object using the Kalman filter
Online linear regression using Kalman filtering
Parallel filtering and smoothing in an LG-SSM
MAP parameter estimation for an LG-SSM using EM and SGD
Bayesian parameter estimation for an LG-SSM using HMC

Nonlinear Gaussian SSMs

Tracking a spiraling object using the extended / unscented Kalman filter
Tracking a 1d pendulum using Extended / Unscented Kalman filter/ smoother
Online learning for an MLP using extended Kalman filtering

Generalized Gaussian SSMs

Online Logistic Regression using conditional moments Gaussian filter
Online learning of an MLP Classifier using conditional moments Gaussian filter
Fitting an LDS with Poisson Likelihood using conditional moments Gaussian filter

API Documentation

Terminology for types
State Space Model (Base class)

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By Peter Chang, Giles Harper-Donnelly, Aleyna Kara, Xinglong Li, Scott Linderman, and Kevin Murphy

© Copyright 2022, Peter Chang, Giles Harper-Donnelly, Aleyna Kara, Xinglong Li, Scott Linderman, and Kevin Murphy.