Learn the distribution of the latent state (the smoothing distribution) p(x_{1:T} | y_{1:T}) of a fully specified DLM with observations available for all time
Learn the distribution of the latent state (the smoothing distribution) p(x_{1:T} | y_{1:T}) of a fully specified DLM with observations available for all time
a DLM model specification
the output of a Kalman Filter
Forward filtering backward sampling for a DLM
Forward filtering backward sampling for a DLM
the DLM
a list of observations
parametes of the DLM
A single step in the backwards smoother Requires that a Kalman Filter has been run on the model
A single step in the backwards smoother Requires that a Kalman Filter has been run on the model
a DLM model specification
the state at time t + 1