I would like to make a Bayesian update scheme similar to Kalman filter. I have a dynamical system which has certain update equations with noisy input, as well as noisy observables. At every timestep, I first propagate the state distribution using system equations, then do posterior sampling to recon…

Constraints for multivariate prior in Bayesian update scheme

aleksejs.fomins October 21, 2024, 7:05am 10

Ok, I switched to EMCEE with rejection sampling. Not the fastest solution, but it works

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