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

ricardoV94 October 16, 2024, 8:20am 2

I bet @jessegrabowski can give you some pointers, including looking at the pymc-experimental statespace module

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