On Thu, Aug 02, 2012 at 01:40:30PM +1000, Robert Layton wrote:
>    Precursor: I say this as someone who knows nothing about Kalman filters.
>    I don't think the parameterisation issue is too big of a deal.

But have you checked how bad the situation was?
https://github.com/duckworthd/scikit-learn/blob/kalman/examples/kalman/plot_filter.py

I need to pass in up to 5 n_state by n_state matrices, and 3 n_state long
vectors.

Gael

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