Add support for inhomogeneous parameters in LinearGaussianConjugateSSM.fit_blocked_gibbs
#403
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This PR aims to address #402. In brief, add support for inhomogeneous (i.e., time-varying) parameter Gibbs sampling in the linear Gaussian conjugate state space model
LinearGaussianConjugateSSM
.The primary code change in
LinearGaussianConjugateSSM.fit_blocked_gibbs
is this:Scope:
fit_blocked_gibbs
-- e.g., EM -- are out of scope of this PR.Let me know if this looks good, or if you require any modifications.