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helske / bssm

Bayesian Inference of State Space Models
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Non-gaussian linear state model with continuous time #26

Closed zjph602xtc closed 2 years ago

zjph602xtc commented 3 years ago

Hi, I have a model that is a linear state model with non-gaussian response with continuous time.

I found that function 'ssm_nlg' seems to be able to handle linear (also, non-linear) gaussian with continuous time, while 'ssm_mng' can handle linear state model with non-gaussian response but no continuous time.

I'm wondering whether it is possible to build a linear state model with non-gaussian response with continuous time. Is it possible to write C++ snippets in 'ssm_mng' function since the only difference is that I want continuous time.

Thank you!

helske commented 3 years ago

You should be able to use ssm_mng for continuous time as well by defining the system matrices appropriately with the model updating function (see, e.g., examples in ?ssm_ulg). In ssm_nlg the snippets define the system matrices such as Z_t for one time point t, whereas with other model types you define all Z_t1, ..., Z_tn matrices at once.

helske commented 2 years ago

Closing as solved, if not, please re-open.