Probabilistic-Programming-and-Bayesian-Methods-for-Hackers VS Kalman-and-Bayesian-Filters-in-Python

Also this is quite nice practical introduction which might help with finding answers to your questions: https://github.com/CamDavidsonPilon/Probabilistic-Programming-and-Bayesian-Methods-for-Hackers

This is a good intro to probabilistic programming.

Probabilistic programming is a nice technique to have up your sleeve.

+1 for Statistical Rethinking. I’m also partial to Bayesian Methods for Hackers.

🔗 https://camdavidsonpilon.github.io/Probabilistic-Programming-and-Bayesian-Methods-for-Hackers/

You’re welcome! I would recommend Bayesian Methods for Hackers

All content is open-source: everyone is free to read, but also to contribute to the book using github. I know of one other book that followed this open-source 'publishing' model and became quite successful eventually through community efforts. I contemplated for a bit to create a book DAO but I think it's going to be overkill :).

Jake Vanderplas's Statistics for Hackers presentation is a perfect place to start. Bayesian Methods for Hackers is also very good.

A fantastic interactive introduction to Kalman filters can be found on the following repo:

https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Pyt...

It explains them from first principles and provides the intuitive rationale for them but doesn't shy away from the math when it feels the student should be ready for it.

No thread on Kalman Filters is complete without a link to this excellent learning resource, a book written as a set of Jupyter notebooks:

https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Pyt...

That book mentions alpha-beta filters as sort of a younger sibling to full-blown Kalman filters. I recently had need of something like this at work, and started doing a bunch of reading. Eventually I realized that alpha-beta filters (and the whole Kalman family) is very focused on predicting the near future, whereas what I really needed was just a way to smooth historical data.

So I started reading in that direction, came across "double exponential smoothing" which seemed perfect for my use-case, and as I went into it I realized... it's just the alpha-beta filter again, but now with different names for all the variables :(

I can't help feeling like this entire neighborhood of math rests on a few common fundamental theories, but because different disciplines arrived at the same systems via different approaches, they end up sounding a little different and the commonality is obscured. Something about power series, Euler's number, gradient descent, filters, feedback systems, general system theory... it feels to me like there's a relatively small kernel of intuitive understanding at the heart of all that stuff, which could end up making glorious sense of a lot of mathematics if I could only grasp it.

Somebody help me out, here!

This provides an excellent intro that jumps right into code. https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Python

If you know a bit of Python and you find it sometimes tough to grind through a textbook, take a look here:

https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Pyt...

Interactive examples programmed in Jupyter notebooks.

Thank you, very good resource! Timely too, as I am revising this topic.

My work is mostly in python. I found this interactive book using Jupyter that explains Kalman filters from first principles.

https://github.com/rlabbe/Kalman-and-Bayesian-Filters-in-Pyt...