Hello everyone,
I am working on time-series models and I would like to recover the latent state of a noise distribution generated by GaussianHMM()
in the pyro.contrib.forecasting
framework.
More specifically, If I am fitting a space state model with the following observation equation:
y_t = A x_t + B e_t
And the transition equation
x_t = C x_{t-1} + D u_t
I would like to recover the path of the vector x_t
.
Ideally, there would be a site for each x_t
and I could just use Predictive()
and look at the relevant sampled sites.
Thank you in advance!
Loic