Remove dead code from kalman_filter.py (#393)

* Remove `SteadyStateFilder`

Rename `CholeskyFilter` to `SquareRootFilter` to match the literature

* Use square root filter equations in `SquareRootFilter`

* Remove `SingleTimeSeriesFilter`

* Remove tests referencing old code

Author: jessegrabowski

pymc_experimental/statespace/core/statespace.py

@@ -18,11 +18,9 @@
 
 from pymc_experimental.statespace.core.representation import PytensorRepresentation
 from pymc_experimental.statespace.filters import (
-    CholeskyFilter,
     KalmanSmoother,
-    SingleTimeseriesFilter,
+    SquareRootFilter,
     StandardFilter,
-    SteadyStateFilter,
     UnivariateFilter,
 )
 from pymc_experimental.statespace.filters.distributions import (
@@ -53,9 +51,7 @@
 FILTER_FACTORY = {
     "standard": StandardFilter,
     "univariate": UnivariateFilter,
-    "steady_state": SteadyStateFilter,
-    "single": SingleTimeseriesFilter,
-    "cholesky": CholeskyFilter,
+    "cholesky": SquareRootFilter,
 }
 
 

pymc_experimental/statespace/filters/__init__.py

@@ -1,19 +1,15 @@
 from pymc_experimental.statespace.filters.distributions import LinearGaussianStateSpace
 from pymc_experimental.statespace.filters.kalman_filter import (
-    CholeskyFilter,
-    SingleTimeseriesFilter,
+    SquareRootFilter,
     StandardFilter,
-    SteadyStateFilter,
     UnivariateFilter,
 )
 from pymc_experimental.statespace.filters.kalman_smoother import KalmanSmoother
 
 __all__ = [
     "StandardFilter",
     "UnivariateFilter",
-    "SteadyStateFilter",
     "KalmanSmoother",
-    "SingleTimeseriesFilter",
-    "CholeskyFilter",
+    "SquareRootFilter",
     "LinearGaussianStateSpace",
 ]