lindermanlab / ssm-jax

Bayesian learning and inference for state space models (SSMs) using Google Research's JAX as a backend
MIT License
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Gibbs sampling for Gaussian LDS #31

Open slinderman opened 2 years ago

slinderman commented 2 years ago

LDSs with Gaussian emissions admit a simple Gibbs sampling algorithm: alternate between the following two steps:

  1. Sample the continuous latent states given the parameters and data using LDSPosterior.sample()
  2. Sample the parameters from their conditional distribution given the latent states and data. This will follow the same recipe as the GaussianEmissions.m_step(), but it will use conditional.sample() instead of conditional.mode().