This repository contains a quick demonstration of using either Stan (http://mc-stan.org/), or a Kalman filter to compute the smoothed estimate of a permanent and transitory component of an aggregate time series, and shows that Stan's posterior mean coincides exactly with the Kalman filter's smoothed state estimate.
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A simple comparison of state smoothing in Stan and with the Kalman filter
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erikcs/kalman-stan
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A simple comparison of state smoothing in Stan and with the Kalman filter
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