Simulation smoother implemented in pymc-experimental?

[rklees]

I wonder if someone knows whether pymc-experimental has implemented a simulation smoother? If so, where can I find more information about its use?

[ricardoV94]

I don't know what that is, and I'm sure there is nothing like it in the library. Do you have an easy to digest reference?

[rklees]

The only source I know is statsmodels. However, it provides the simulation smoother outputs as numpy arrays, not as inference data object. The equations are in the book of Durbin & Koopmans 2012. Sent from Outlook for Android<https://aka.ms/AAb9ysg>

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________________________________ From: Ricardo Vieira ***@***.***> Sent: Monday, April 29, 2024 6:47:50 PM To: pymc-devs/pymc-experimental ***@***.***> Cc: Roland Klees ***@***.***>; Author ***@***.***> Subject: Re: [pymc-devs/pymc-experimental] Simulation smoother implemented in pymc-experimental? (Discussion #339) I don't know what that is, and I'm sure there is nothing like it in the library. Do you have an easy to digest reference? — Reply to this email directly, view it on GitHub<#339 (comment)>, or unsubscribe<https://github.com/notifications/unsubscribe-auth/AWKBIZLLZYFIP4O7SO7TP7TY7Z2TNAVCNFSM6AAAAABG6DC4YCVHI2DSMVQWIX3LMV43SRDJONRXK43TNFXW4Q3PNVWWK3TUHM4TENRVGY3DA>. You are receiving this because you authored the thread.Message ID: ***@***.***>

[jessegrabowski]

No, we only have the RTS smoother. Contributions are welcome if that's something important to you :)