RTS Kalman Smoother (C++ × Python)
The package provides a high-performance Rauch–Tung–Striebel Kalman smoother for the local level model.
This model is a canonical choice for asset prices and similar data (random walk latent state).
It smooths each asset (column) independently with global process/observation variances (Q, R) shared across assets.
Features
- Handles
NaNobservations (prediction-only step when missing) - Returns smoothed states as the same object type
- Diffuse initialization
Install (from PyPI)
pip install rts_smoother
Install (from source)
pip install -U pip build twine
pip install -e .
Usage
from rts_smoother import smooth
# Provide Q and R manually
df_smoothed = smooth(df, Q=1e-4, R=1e-3)
Model
- State:
x_t = x_{t-1} + w_t,w_t ~ N(0, Q) - Obs:
y_t = x_t + v_t,v_t ~ N(0, R)
Notes
- Built with scikit-build-core and pybind11.
- The compiled extension lives at
rts_smoother/_core.*inside the wheel.
1 maintainer
Metadata
1 maintainer
Release files for rts-smoother 0.1.0
For a detailed explanation of source distributions (sdists) and built distributions (wheels), please see the package formats documentation.
Source distribution (sdist)
| File | Size | Uploaded | |
|---|---|---|---|
| rts_smoother-0.1.0.tar.gz | 5.8 kB | Details |
Built distributions (wheels)
| File | Interpreter | ABI | Platform | Reset |
|---|---|---|---|---|
| rts_smoother-0.1.0-cp314-cp314-win_amd64.whl | CPython 3.14 | CPython 3.14 | Windows x86-64 | Details |
| rts_smoother-0.1.0-cp314-cp314-macosx_15_0_arm64.whl | CPython 3.14 | CPython 3.14 | macOS 15.0+ ARM64 | Details |
Total release size: 138.5 kB
Release files / rts_smoother-0.1.0.tar.gz
| Download URL | rts_smoother-0.1.0.tar.gz |
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| Size | 5.8 kB |
| Tags | Source |
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| Download URL | rts_smoother-0.1.0-cp314-cp314-win_amd64.whl |
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| Size | 74.2 kB |
| Tags | CPython 3.14 Windows x86-64 |
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Release files / rts_smoother-0.1.0-cp314-cp314-macosx_15_0_arm64.whl
| Download URL | rts_smoother-0.1.0-cp314-cp314-macosx_15_0_arm64.whl |
|---|---|
| Size | 58.6 kB |
| Tags | CPython 3.14 macOS 15.0+ ARM64 |
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