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lindermanlab / ssm

Bayesian learning and inference for state space models
MIT License
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Diagonal Gaussian emissions for LDS? #157

Closed charlesbmi closed 1 year ago

charlesbmi commented 1 year ago

Are diagonal Gaussian emissions supported for linear dynamical systems?

I noticed that DiagonalGaussianObservations is implemented in observations.py and is used for HMM observations and LDS transitions. However, only emissions.py Emissions objects appear to be used for the LDS emissions/observations: https://github.com/lindermanlab/ssm/blob/a8072a8/ssm/lds.py#L95-L125 . Can the DiagonalGaussianObservations be easily adapted to be used with LDS?

If not, is there a straightforward way to enforce the emission covariance $$\Sigma_v$$ to be diagonal during E-M?

charlesbmi commented 1 year ago

Ben helped me out - looks like the Gaussian emissions are only diagonal : https://github.com/lindermanlab/ssm/blob/6c856ad3967941d176eb348bcd490cfaaa08ba60/ssm/emissions.py#L426