Allowing changing transition matrix for hmm suites

[charlesm93]

Description

Currently we only allow users to pass a fix transition matrix when calling any one of three functions for Hidden Markov Models:

• hmm_marginal
• hmm_hidden_state_prob
• hmm_latent_rng

In some models, the user needs to pass a transition matrix that changes over (discrete) time. To accommodate this, we need to revise the code so that it can handle an array of transition matrices, where the number of matrices is K (the number of unobserved discrete variables).

Example

See this discussion on the Stan forum.

Expected Output

Overload all signatures for hmm functions so that they can accept an array of transition matrices, rather than a single transition matrix.

Current Version:

v4.3.0

[charlesm93]

Before addressing this, we should fix this issue first.

[InfProbSciX]

This would be a great feature to add (I've got a couple of projects that use hmm_marginal and would really benefit from time varying transition probabilities). Would I be able to help in any way on this issue?