Add UnobservedComponents (#228)

* Add UnobservedComponents * Added cycles * remove unecessary mutable in some structs
LAMPSPUC · Dec 23, 2020 · 1ff14db · 1ff14db · guilhermebodin · Dec 23, 2020
1 parent ed221ac
commit 1ff14db
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Showing 8 changed files with 485 additions and 4 deletions.
diff --git a/src/StateSpaceModels.jl b/src/StateSpaceModels.jl
@@ -41,6 +41,7 @@ include("models/basicstructural.jl")
 include("models/basicstructural_multivariate.jl")
 include("models/sarima.jl")
 include("models/linear_regression.jl")
+include("models/unobserved_components.jl")
 
 include("visualization/forecast.jl")
 
@@ -61,6 +62,7 @@ export Optimizer
 export ScalarKalmanFilter
 export StateSpaceModel
 export UnivariateKalmanFilter
+export UnobservedComponents
 
 # Exported functions
 export constrain_box!

diff --git a/src/forecast.jl b/src/forecast.jl
@@ -1,4 +1,4 @@
-mutable struct Forecast{Fl}
+struct Forecast{Fl}
     expected_value::Vector{Vector{Fl}}
     covariance::Vector{Matrix{Fl}}
 end

diff --git a/src/kalman_filter_and_smoother.jl b/src/kalman_filter_and_smoother.jl
@@ -49,7 +49,7 @@ Structure with the results of the Kalman filter:
 * `Ptt`: variance of filtered state
 * `Pinf`: diffuse part of the covariance
 """
-mutable struct FilterOutput{Fl<:AbstractFloat}
+struct FilterOutput{Fl<:AbstractFloat}
     v::Vector{Vector{Fl}}
     F::Vector{Matrix{Fl}}
     a::Vector{Vector{Fl}}
@@ -186,7 +186,7 @@ Structure with the results of the smoother:
 * `alpha`: smoothed state
 * `V`: variance of smoothed state
 """
-mutable struct SmootherOutput{Fl<:Real}
+struct SmootherOutput{Fl<:Real}
     alpha::Vector{Vector{Fl}}
     V::Vector{Matrix{Fl}}