Add HMM missing-observation support and an HMM missingness tutorial#247
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mattlevine22 wants to merge 9 commits into
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Add HMM missing-observation support and an HMM missingness tutorial#247mattlevine22 wants to merge 9 commits into
mattlevine22 wants to merge 9 commits into
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mattlevine22
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Jun 2, 2026
mattlevine22
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Jun 2, 2026
mattlevine22
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Jun 2, 2026
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This PR adds NaN-based missing-observation support to the exact HMM filter by reusing the shared masked observation log-probability machinery already used on the simulator side. Fully missing rows now act as neutral observation updates, and partial missingness is supported for exact-marginalizable HMM observation families such as MultivariateNormal and factorizable Independent(..., 1) observations.
It also adds regression coverage for the supported and unsupported HMM missingness cases, updates the HMMConfig docs/checker behavior, and introduces a new Part 11c tutorial showing the two clean built-in HMM missingness workflows: multivariate Gaussian observations and independent categorical observations. The tutorial index is updated to link to the new notebook.