Hello,
I am trying to work with tfp.experimental.mcmc.particle_filter but I do not understand how the input ‘observation’ is supposed to be formatted in case my observations are tensors of shape 2. Suppose we have 5 states in the model. What I am giving as input in this case is a tensor of shape (5, 2), where each row is an observation and each column is a dimension of the state, but this is not correct as it forces me insert num_particles=2.
Anyone able to help me figuring this out? Thank you.