State-Space GPs#

StateSpaceConjugatePosterior

Conjugate posterior for a state-space (Markovian) GP.

StateSpacePrior

Prior for a state-space (Markovian) GP.

TruncatedPeriodic

Truncated-Fourier approximation of the periodic kernel.

fit

Fit a state-space posterior with Optax (gradient-descent style).

fit_lbfgs

Fit a state-space posterior with Optax's L-BFGS (while_loop driver).

fit_scipy

Fit a state-space posterior with SciPy's L-BFGS-B.

state_space_mll

Marginal log-likelihood via the square-root Kalman filter.

to_sde

Convert a kernel to its state-space (linear SDE) representation.