Moritz Schauer

Some progress. Next steps: - [x] Register DynamicIterators 0.2 - [ ] Test backward sampling - [x] Add some more documentation - [x] Register Kalman 0.1

Can you give me a test system and data of the size you are thinking about? Some matrices `Φ, Q, H, and R` and a vector `Y` which might be...

I went ahead and registered the package. There are still things to do but from my side with changes of more incremental nature.

https://github.com/mschauer/Trajectories.jl/issues/10#issuecomment-596079868

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I think this is already there: You should be able to replace the observation matrix `H` by a vector of matrix free observation operators defined via https://julialinearalgebra.github.io/LinearMaps.jl/dev/, Would something like...

That, or use `convert_hermitian(G::Gaussian) = Gaussian(G.μ, Hermitian(G.Σ))`. A different solution is make the Arguments to the Kalman-Filter-Type which are covariances actually `Hermitian`s, but I don't know if this would work...

Ah, I see that this is not yet possible. I'll have to a square root filter anyway which alleviates the problem.