) of the latent states at each time. Their dimension follows, respectively, the dimensions of mt and Ct.</p>
    </div>
    <div class="section level2">
    <h2 id="details">Details<a class="anchor" aria-label="anchor" href="#details"></a></h2>
    <p>For the models covered in this package, we always assume that the latent states have Multivariate Normal distribution. With that assumption, we can use Kalman Smoother algorithm to calculate the posterior of the states at each time, given everything that has b