vations is also supported
    observations are normally distributed conditional on the state.
    multiple observation sequences are supported
 
    bias term is *NOT* automatically added to the model
 
    K = number of states
    M = number of observations
    T = number of timesteps
 
    X and Y are swapped wrt the Kalman filter conventions
 
    EXAMPLE
    rand('seed',2); randn('seed',2);
  
    nsamples = 1000; ncov = 2; ncycles = 10; ntrials = 2; 
    Y = sin(ncycles * 2 * pi * (1:nsamples) ./ nsamp