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