Implementing Sequential Parameter Estimation

We discuss the interactions between a (state space) model, data generated by this model, and an algorithm to estimate model parameter given the data. In particular:

• Basics of state space models and estimation challenges.
• Sequential estimation algorithms of such models.
• Challenges and benchmarking for said algorithms.

If time permits, I would be interested in a more open discussion about the following topics.

• How do you implement your custom algorithms that you use for research?
• How would you execute your code/algorithms in a real world setting?
• Does this change in a sequential context, i.e., new data is observed over time.