Posts about kalman-filter
- Correction: evaluation of Matérn 3/2 GP density in Stan using the SDE representation takes quadratic time!
- Rao-Blackwellized particle filters for quasiperiodic Gaussian processes
- Linear time evaluation of Matérn 3/2 GP density in Stan using the SDE representation (NB: See the correction!)
- Kalman filter style recursion to marginalize state variables to speed up Stan inference