added missing value handling for log likelihood and statespace matrices in UnivariateFilter kalman_step

Author: sebcroft

pymc_extras/statespace/filters/kalman_filter.py

@@ -779,15 +779,10 @@ def _univariate_inner_filter_step(self, y, Z_row, d_row, sigma_H, nan_flag, a, P
         return a_filtered, P_filtered, pt.atleast_1d(y_hat), pt.atleast_2d(F), ll_inner
 
     def kalman_step(self, *args):
-
         y, a, P, c, d, T, Z, R, H, Q = self.unpack_args(args)
 
-        nan_mask = pt.isnan(y)
-
-        W = pt.set_subtensor(pt.eye(y.shape[0])[nan_mask, nan_mask], 0.0)
-        Z_masked = W.dot(Z)
-        H_masked = W.dot(H)
-        y_masked = pt.set_subtensor(y[nan_mask], 0.0)
+        nan_mask = pt.or_(pt.isnan(y), pt.eq(y, self.missing_fill_value))
+        y_masked, Z_masked, H_masked, all_nan_flag = self.handle_missing_values(y, Z, H)
 
         result = pytensor.scan(
             self._univariate_inner_filter_step,
@@ -808,6 +803,10 @@ def kalman_step(self, *args):
         P_filtered = stabilize(0.5 * (P_filtered + P_filtered.mT), self.cov_jitter)
         a_hat, P_hat = self.predict(a=a_filtered, P=P_filtered, c=c, T=T, R=R, Q=Q)
 
-        ll = -0.5 * ((pt.neq(ll_inner, 0).sum()) * MVN_CONST + ll_inner.sum())
+        ll = pt.switch(
+            all_nan_flag,
+            0.0,
+            -0.5 * ((pt.neq(ll_inner, 0).sum()) * MVN_CONST + ll_inner.sum()),
+        )
 
         return a_filtered, a_hat, obs_mu, P_filtered, P_hat, obs_cov, ll