title: Hidden Markov in PyMC3
body: <p>I have a multivariate Monte-Carlo Hidden Markov problem to solve:</p>
  
  <pre><code>   x[k] = f(x[k-1]) + B u[k]
     y[k] = g(x[k])
  </code></pre>
  
  <p>where:</p>
  
  <pre><code>x[k] the hidden states (Markov dynamics)
  y[k] the observed data
  u[k] the stochastic driving process
  </code></pre>
  
  <p>Is PyMC3 already mature enough to handle this problem or should I stay with version 2.3? Secondly, any references to HM models in a PyMC framework would be much appreciated. Thanks.</p>
  
  <p>-- Henk</p>