Add Gaussian state space model distribution. #1904
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fehiepsi
approved these changes
Nov 12, 2024
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Woohoo, nice to see pieces glue together. Thanks @tillahoffmann!
Fingers crossed, I'll be able to share how all the other PRs fit into the bigger picture soon. "Just" wrapping up the analysis... |
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This PR adds a Gaussian state space model distribution which generalizes a Gaussian random walk. The state vector$\mathbf z$ evolves as $\mathbf{z}_t = \mathbf{A}\mathbf{z}_{t-1} +\boldsymbol\epsilon_t$ , where $\mathbf A$ is a square transition matrix and $\boldsymbol\epsilon_t$ is innovation noise for step $t$ . The distribution is implemented as a transformation of a multivariate normal distribution using a recursive linear transformation from #1766.