Inhomogeneous Kalman filter

[hylkedonker]

Hi,

I was wondering if there are any plans to support the time-dependent dynamics parameters (e.g., $F_t$) and emission parameters (e.g., $H_t$) in LinearGaussian{Conjugate}SSM? The math in the LinearGaussian SSM docs suggests time dependence, but when I look at the code, it looks like they are time-independent (e.g., $F_t=F$ for all $t$).
It appears that some of the mechanics to implement time-dependence is already in place, e.g., in lgssm_posterior_sample and lgssm_smoother.
Unless I am missing something, I think what remains should be quite straightforward. Namely, instead of aggregating the statistics from different time points $t$, just keep the time index and make a separate posterior update for each $t$.
If you're interested, I can help out with a PR.

Kind regards,

Hylke