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Kalman filter log-likelihood #713

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@MichaelClerx MichaelClerx commented Feb 15, 2019

Fixes #433

@ben18785
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@martinjrobins Interesting to compare this to AR1 model as think they're the same although estimation approach is different (you use the Kalman filter to compute the log-likelihood, I use another approach).

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codecov bot commented Apr 17, 2019

Codecov Report

Merging #713 into master will not change coverage.
The diff coverage is n/a.

Impacted file tree graph

@@           Coverage Diff           @@
##           master   #713     +/-   ##
=======================================
  Coverage     100%   100%             
=======================================
  Files          68     52     -16     
  Lines        7230   5022   -2208     
=======================================
- Hits         7230   5022   -2208
Impacted Files Coverage Δ
pints/toy/_repressilator_model.py 100% <0%> (ø) ⬆️
pints/_mcmc/_population.py 100% <0%> (ø) ⬆️
pints/toy/_sir_model.py 100% <0%> (ø) ⬆️
pints/_core.py 100% <0%> (ø) ⬆️
pints/_optimisers/_xnes.py 100% <0%> (ø) ⬆️
pints/_mcmc/_mala.py 100% <0%> (ø) ⬆️
pints/_evaluation.py 100% <0%> (ø) ⬆️
pints/_mcmc/__init__.py 100% <0%> (ø) ⬆️
pints/toy/_goodwin_oscillator_model.py 100% <0%> (ø) ⬆️
pints/toy/_cone.py 100% <0%> (ø) ⬆️
... and 58 more

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@MichaelClerx
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Fixed the git mess I made here. Please delete local copy and re-check out before continuing work on this

@ben18785
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@martinjrobins this is an oldie but a goodie. Think we might as well try and include it, so long as we have some tests written...

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Kalman filter log-likelihood
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