I’m a relatively new Stan user and I’m interested in estimating a dynamic linear model (as a component of a larger model) in Stan. I found the documentation for gaussian_dlm_obs() in the function reference, but I haven’t been able to find a working example that uses gaussian_dlm_obs(). Does anyone have a case study I could start from?
I think the
ctsem package implements some dynamic linear models with Stan, so that could be some inspiration (although not exactly a case study), also I am not sure they actually use
Also the Chronikis package Chronikis: a language for Bayesian time-series models that compiles to Stan by @Kevin_Van_Horn could be useful (Kevin might also have some worked examples to share)
Best of luck with your model!