Not just that. Aside from the fact that Pyro has a lot of guide tooling, you get for example (hybrid) message passing for HMMs. This is crucial to scale beyond

Not just that. Aside from the fact that Pyro has a lot of guide tooling, you get for example (hybrid) message passing for HMMs. This is crucial to scale beyond toy data. Within Julia, ForneyLab.jl is quite cool for non-deep state space models. I also like Turing.jl, but it has different tradeoffs.