[jampekka]

Sympy can manipulate Gaussian distributions symbolically, but the Gaussian is more or less the only distribution that can be really symbolically manipulated.

Though I'm not sure Sympy can handle the conditional (Bayesian posterior) distribution needed for the Kalman filter.

In any case, you are better off working direcly with the mean and variance (or covariance matrix) if you want to play around with the Kalman filter with Sympy.

[mitthrowaway2]

The posterior is also a Gaussian, is it not?

[jampekka]

Yes.