Spike and Slab Prior

[manujosephv]

Hi,

I was searching for an alternative for bsts(R) in Python and stumbled on this gem.

As far as I understand there is no difference between bsts and pydlm, except for the fact that bsts uses a Spike and Slab prior in its regressor(to induce sparsity)

Is there any plan to include an option to use a spike and slab prior in pydlm?