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MixedGaussianModel


class MixedGaussianModel < Model

Linear-nonlinear state-space model.

Member Variables

Name Description
x_n:Tape<Random<Real>> Nonlinear hidden states.
x_l:Tape<Random<Real[_]>> Linear hidden states.
y_n:Tape<Random<Real>> Nonlinear observations.
y_l:Tape<Random<Real>> Linear observations.
A:Real[_,_] Linear-linear state transition matrix.
b:Real[_] Nonlinear-linear state transition matrix.
c:Real[_] Linear observation matrix.
Σ_x_l:Real[_,_] Linear state noise covariance.
σ2_x_n:Real Nonlinear state noise covariance.
σ2_y_l:Real Linear observation noise covariance.
σ2_y_n:Real Nonlinear observation noise covariance.