I just started a research project with my adviser developing new posterior sampling algorithms for dynamic linear models (linear gaussian discrete time state space models). Right now I'm in the process of writing up the results of some simulations testing a couple known algorithms, and am about to start some simulations testing some AFAIK unknown algorithms. There's a couple interesting divergent threads coming off this project, but I haven't really gotten into those yet.
This is the supposedly-bimonthly-but-we-missed-April-and-June-2013 'What are you working On?' thread. Previous threads are here. So here's the question:
What are you working on?
Here are some guidelines: