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add support for MAP parameter estimation for LDS #57

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murphyk opened this issue Jul 1, 2022 · 1 comment
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add support for MAP parameter estimation for LDS #57

murphyk opened this issue Jul 1, 2022 · 1 comment
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murphyk commented Jul 1, 2022

Currently LGSSM.m_step computes the MLE. We should allow the user to specify a NIW prior on all the matrices and then compute the MAP estimate. (Similar functionality will also needed by Gibbs sampling for HMM fitting.)
@murphyk murphyk mentioned this issue Jul 1, 2022
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Got it!

@xinglong-li xinglong-li linked a pull request Jul 20, 2022 that will close this issue
3 updates (not tested yet) #117
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3 updates (not tested yet) xinglong-li/dynamax
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