I saw the steps for a Bayesian estimation algorithm in a paper, and I was wondering if there’s a way to implement this kind of hybrid MCMC algorithm using the Turing.jl library.
Maybe you have already explored the docs, but just looking at the words mentioned, I wonder if it could be possible using SSMProblems.jl / HiddenMarkovModels.jl, AdvancedMH.jl, Turing.Inference.Gibbs. If it requires a more custom sampler, the external samplers page talks about how to connect such things with Turing. Note also the Gen.jl PPL which is designed for finer control of inference.