I’m have multiple time series of the same length with the same AR parameters. I’m struggling to figure out the shapes/dims situation in v4. Here is a toy example: import pandas as pd import pymc as pm import numpy as np import arviz as az def create_ar_series(length, rho, sigma): res = [] …

That’s because I missed a zero. That works! with pm.Model(coords={"time": df.index.values, "series": [0, 1]}) as m: rho = pm.Normal("rho") init = pm.Normal.dist() sigma = pm.HalfNormal('sigma') ar1 = pm.AR("ar1", rho=rho, sigma=sigma, …

AR dims/coords/shape in v4

Questions v5

DanWeitzenfeld August 11, 2022, 2:26am 5

Thank you for the suggestion. I just tried that and pymc interprets that as an AR2 model.

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AR dims/coords/shape in v4

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