Moritz Schauer

You can of course use `PSD` and provide `PSD(sqrt(Diagonal(v)))` but further on you might need to define some methods as `+(a::PSD, b::PSD) = PSD(sqrt((a.σ*a.σ') + (b.σ*b.σ'))` etc. I think this...

Oh, let’s go for that!

Please do make a PR if you would like!

Todo list - [x] Equip dynamic iterators with state - [ ] Integration - [x] Internal randomness - [x] Synchronisation - [x] Metropolis-Hastings - [ ] Examples

The basic design stands, but expect some adaption when Kalman.jl and eventually Bridge.jl start using this.

DynamicIterators has been adapted to be flexible enough to express filtering algorithms. I am tagging a new version.

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@cstjean

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