search

helske / bssm

Bayesian Inference of State Space Models
42 stars 14 forks source link

Add missing + to ss eqs #23

Closed khusmann closed 3 years ago

khusmann commented 3 years ago

I'm a newbie to nonlinear state space eqs, so I'm probably misunderstanding... but aren't these missing a + ?

Thanks for your work on this package!

helske commented 3 years ago

Thanks, there shouldn't be + as the formulation assumes that epsilon is standard normal, so that cov(epsilon_t) = cov(H_t eps_t) = H_t H'_t. And similarly for eta_t.

The ~ typo is a good catch. If you remove the first commit I can merge the second one.

khusmann commented 3 years ago

Ah, I see. Thanks for the reply! (Removed the first commit)

helske commented 3 years ago

Thanks!