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sebcroftjessegrabowski
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Added unpack_args to UnivariateFilter kalman_step function so ordering of time-varying statespace matrices is correct
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Lines changed: 4 additions & 1 deletion

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pymc_extras/statespace/filters/kalman_filter.py

Lines changed: 4 additions & 1 deletion
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@@ -778,7 +778,10 @@ def _univariate_inner_filter_step(self, y, Z_row, d_row, sigma_H, nan_flag, a, P
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return a_filtered, P_filtered, pt.atleast_1d(y_hat), pt.atleast_2d(F), ll_inner
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def kalman_step(self, y, a, P, c, d, T, Z, R, H, Q):
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def kalman_step(self, *args):
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y, a, P, c, d, T, Z, R, H, Q = self.unpack_args(args)
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nan_mask = pt.isnan(y)
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W = pt.set_subtensor(pt.eye(y.shape[0])[nan_mask, nan_mask], 0.0)

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