Advice for Time Series Forcasting

[AlexAndorra]

@JAB

since the statespace module does not currently scale as well, would it be feasible to impose a hierarchical structure on the weights of pm.AR?

I’ll let Jesse confirm, but I guess this wouldn’t scale better, as you’re keeping the recursive structure – and the hierarchical structure should complicate that further. My bet in this case would be HSGPs.

@jessegrabowski

The statespace module unfortunately don’t scale well at the moment, so if you have thousands of time series that you want to jointly estimate, it’s not a good choice. I hope this will change in the near future.

What would it take to change this @jessegrabowski ?