Extend gaussian_dlm_obs to allow time-varying system matrices
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- Dominant language
- C++
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- Avg merge
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Description
Description
The general dynamic linear model allows the system matrices F, G, V, and W to vary over time. This is useful in certain implementations of (quasi)periodicity, in handling missing observations, in dealing with time steps where it is known that something unusual happened, in implementing long-tailed distributions for the disturbances, etc. Stan should have a version of gaussian_dlm_obs that can handle such time-varying system matrices.
(I plan to implement this myself and submit a pull request.)
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Start with the existing gaussian_dlm_obs entry point and trace how the F, G, V, and W system matrices are currently supplied. Define the supported time-varying inputs and add coverage for them; done means gaussian_dlm_obs handles matrices that vary over time for the stated use cases.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- cpp
- Domain
- data
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Mostly clear
- Newbie friendliness
- 30/100