blocked gibbs sampling for LGSSM as alternative to EM about dynamax HOT 2 CLOSED

Other possibly useful references

C. Strickland, R. Burdett, K. Mengersen, and R. Denham, “PySSM: A Python Module for Bayesian Inference of Linear Gaussian State Space Models,” J. Stat. Softw., vol. 57, pp. 1–37, Apr. 2014, doi: 10.18637/jss.v057.i06. [Online]. Available: https://www.jstatsoft.org/article/view/v057i06. [Accessed: Mar. 11, 2022]

J. Helske and M. Vihola, “bssm: Bayesian Inference of Non-linear and Non-Gaussian State Space Models in R,” R J., vol. 13, no. 2, Jan. 2021 [Online]. Available: http://arxiv.org/abs/2101.08492

Note: this is a copy of probml/pyprobml#677

from dynamax.

Note that #57 might be a useful intermediate step for debugging the NIW machinery.

from dynamax.