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TuringLang / SSMProblems.jl

Common abstractions for state-space models
http://turinglang.org/SSMProblems.jl/
MIT License
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Add example script for PMMH #37

Closed THargreaves closed 2 months ago

THargreaves commented 4 months ago

Inspired by this gist, this is an implementation of particle-marginal MH using Turing.jl.

Results are compared to the ground truth from a Kalman filter and the posterior means match.

I haven't done any adaption for the MH step and I'm not exactly sure how to, but it seems to work fine with default settings.

THargreaves commented 4 months ago

Ah just need to wait for the release corresponding to this PR to be available.

The current Turing version is forcing Advanced Ps 0.5.6 which doesn't support the new interface.

yebai commented 4 months ago

The current Turing version is forcing Advanced Ps 0.5.6 which doesn't support the new interface.

There is a new release.