Hello, I read several posts and tried different approaches before writing this post, but I have been stuck for a moment now and I cannot make a simple time series work when the variables have more than one dimension. Below is an example of a simple HMM with a latent variable Z that evolves over tim…

Wrong posterior in multidimensional GaussianRandomWalk

ricardoV94 January 8, 2023, 9:13pm 5

The GaussianRandomWalk requires the time dimension to be at the rightmost position. That’s the axis over which steps evolve

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Multivariate version of Rolling Regression Example

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