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Fix: kalman_filter.py, linreg_kf.py #50

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merged 3 commits into from
May 16, 2022
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Fix: kalman_filter.py, linreg_kf.py #50

merged 3 commits into from
May 16, 2022

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gerdm
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@gerdm gerdm commented May 15, 2022

gerdm added 3 commits May 15, 2022 17:44
Fix instantiation of self.nobs, self.nstates
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murphyk commented May 16, 2022

This looks clunky

b = inv(Sigma0) @ mu0 + X.T @ y / R.item()

What is R.item()? Also, I shudder when I see inv. If Sigma0 is diagonal, maybe
write jnp.diag(1/diag(Sigma0)) or something like that?

Meanwhile I will merge this so the rest of the codebase runs.

@murphyk murphyk merged commit 45d9a8d into main May 16, 2022
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make Bayesian linear regression demo numerically stable
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