xact filtering in Gaussian Markov switching systems: constant-gain optimal filter under the AB constraint, exact K^N mixture filter, IMM and GPB2 reference implementations, Baum-Welch (semi-)supervised estimation
python reproducible-research signal-processing kalman-filter baum-welch enso state-space-model markov-switching imm interacting-multiple-models regime-switching bayesian-filtering gpb2 pairwise-markov-models jump-markov-linear-systems
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Updated
Aug 2, 2026 - Python