SsfPack [1] is a great implementation if you are willing to suffer through Ox. [...

em500 · on April 17, 2019

Most of SsfPack is now implemented in python statsmodels: https://www.statsmodels.org/stable/statespace.html

zmk_ · on April 29, 2019

Thanks for that! I was not aware of this.

SsfPack will still be faster though and be less memory hungry than Python. On the brief look I had, it also seems that the nonlinear/non-Gaussian simulation methods are not implemented.