I know R, and Mathematica, but I’ve never worked with Stan.
I’m trying to fit a multidimensional Linear State-Space Model with Stan.
The documentation has 600+ pages, I’m not wealthy in free time.
Which chapters should I read to understand on how to model a LSSM with Stan? Or is there an easier way to learn?
Kind regards.
If you have never worked with Stan before, then trying to do a state-space model is definitely jumping off the deep end. The ctsem or walker packages on CRAN come with Stan programs for dynamic modeling and are more likely to be useful for you.
If you were going to invest the (considerable amount of) time to learn how to do something like that yourself, then the chapter on hidden Markov models in the manual is the closest, although it concentrates on the case with discrete states. There is a lot of state-space Stan code at
But I would guess it would take several months to build up to being able to write, estimate, and validate a state-space model in Stan starting from ground zero.