This package implements a number of state-space models in julia. It take inspiration from the SSM package written in python from the Linderman Lab. Currently, the following models are implemented:
- Mixture Models
- Gaussian Mixture Models
- Poisson Mixture Models
- Binomial Mixture Models
- Negative Binomial Mixture Models
- Student's t Mixture Models
- Hidden Markov Models
- Gaussian HMMs
- Poisson HMMs
- Binomial HMMs
- Negative Binomial HMMs
- Autoregressive HMMs (ARHMM)
- Linear Dynamical Systems
- Gaussian Linear Dynamical Systems (Kalman Filter)
- Poisson Linear Dynamical Systems (PLDS)
- PFLDS
- Switching Linear Dynamical Systems (SLDS)
- Recurrent Switching Linear Dynamical Systems (rSLDS)
- Generalized Linear Models (Not state space models but needed for HMM-GLMs)
- Gaussian GLMs
- Poisson GLMs
- Binomial GLMs
- Negative Binomial GLMs
- HMM-GLM's
- Gaussian HMM-GLMs
- Poisson HMM-GLMs
- Bernoulli HMM-GLMs
- Negative Binomial HMM-GLMs
- Multinomial HMM-GLMs
We are hoping to add more models in the future. If you have any suggestions, please open an issue.