Time varying state space matrices

[rob-luke]

Do you have any interest in allowing the matrices in the state space models to be time varying?

TimeModels accomplishes this using a generator function for each matrix (initial implentation, optimised implementation).

[JonnyCBB]

I like this idea. I hadn't really thought about it too much before. Would it just be a case of defining a matrix of functions and evaluating the matrix at each time step? The bench marking looks good too. I thought there would've been more overhead.

[ElOceanografo]

Yes, definitely. Do you have any interest in porting your implementation over to StateSpace?

[rob-luke]

Glad you are interested. I am happy to implement this. But won't be able to for another two weeks.

[JonnyCBB]

Fantastic 👍

[ElOceanografo]

This is tentatively supported now ( e1b867a ) for LinearGaussianSSM . Basically a copy-and-paste of the TimeModels implementation, without the feed-forward matrix, at least for now.

We should also think about what time-dependent behavior we might want for the nonlinear model types, and how to make this easy and consistent to specify for the end user...

[rob-luke]

I have been using your dev branch implementation of time dependent behaviour for the last few days and it works a treat.