I’m relatively new to pyMC, and I’m trying to implement a state space model whose transition matrix depends on time. So far, I’ve been following the example in this notebook . It does almost everything I need, except for the time-dependence. Is there an easy way to modify it to add a time-varying tra…

I think I get it now. Thanks for clarifying the setup! The index ["transition", 0, 0] is a single element in a matrix, yeah. When you registered d_rand, you said it has shape (None, 2). From your equations, it looks like d_rand should just be a scalar, so the shape should be (None, 1) or (None,), d…

Does the state_space model support time-dependent transition matrices?

Questions v5

jessegrabowski January 20, 2025, 2:14am 2

Yes, all matrices except x0 and P0 are allowed to be time varying. This discussion goes through some of the implementation details.

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Does the state_space model support time-dependent transition matrices?

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