02 — State-Space and Probabilistic Models

Probabilistic frameworks for time series that model hidden states evolving over time — Kalman filters for linear-Gaussian systems and their extensions.

Notes

• State-Space Models — Linear Gaussian state-space model, Kalman filter, smoother, Dynamic Linear Models, structural time series

Links

← 01 — Classical Forecasting → 03 — ML and DL Forecasting

• Latent Variable Models — HMM as discrete state-space
• Probability Theory — Gaussian conditionals