Object

dlm.model

GibbsWishart

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object GibbsWishart

This class learns a correlated system matrix using the InverseWishart prior on the system noise matrix

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  10. def gibbsSamples(mod: Model, priorV: InverseGamma, priorW: InverseWishart, initParams: Parameters, observations: Array[Data]): Process[State]

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    Do some gibbs samples

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  16. def sampleObservationMatrix(priorV: InverseGamma, mod: Model, state: Array[(Time, DenseVector[Double])], observations: Array[Data]): Rand[DenseMatrix[Double]]

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    Sample a diagonal observation covariance matrix from the d-inverse Gamma Prior

  17. def sampleSystemMatrix(priorW: InverseWishart, mod: Model, state: Array[(Time, DenseVector[Double])]): InverseWishart

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    Sample the system covariance matrix using an Inverse Wishart prior on the system covariance matrix

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  23. def wishartStep(mod: Model, priorV: InverseGamma, priorW: InverseWishart, observations: Array[Data])(state: State): Rand[State]

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