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probml / JSL

Jax SSM Library
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Implement the Extended Rauch–Tung–Striebel smoother #26

Closed gerdm closed 2 years ago

gerdm commented 2 years ago

Section 9.1 of Särkkä's book.

Särkkä, S. (2013). Bayesian Filtering and Smoothing (Institute of Mathematical Statistics Textbooks). Cambridge: Cambridge University Press. doi:10.1017/CBO9781139344203