State Space Dev

Tracking And Detection

Kalman, Particle, Structural Time Series, Probablistic Programming

Tracking And Detection

Sequentially following a system forward through time while making decisions. The classic example is tracking a possibly hostile target and detecting the need to take action - but there’s very little difference here from tracking a price and detecting the need to buy or sell, or tracking a component and detecting an anomaly.

Kalman, Particle, Structural Time Series, Probabilistic Programming

State space models and processors, sequential Monte Carlo, MCMC, Bayesian networks.