Help with Multivariate SDE Timeseries

Questions
13

Ok I tried implementing this solution but am getting an error

import numpy as np
import matplotlib.pyplot as plt
import pymc3 as pm
from pymc3.distributions.timeseries import EulerMaruyama

returns = np.genfromtxt(pm.get_data("SP500.csv"))

def lin_sde(Vt, sigma_v, rho, beta_v, alpha_v, error_s):
    return alpha_v + beta_v * Vt + sigma_v * np.sqrt(Vt) * rho * error_s, sigma_v * np.sqrt(Vt) * np.sqrt(1-rho*rho)

with pm.Model() as sp500_model:

    alpha_v=pm.Normal('alpha',0,sd=100)
    beta_v=pm.Normal('beta',0,sd=10)
    sigma_v=pm.InverseGamma('sigmaV',2.5,0.1)
    rho=pm.Uniform('rho',-.9,.9)
    
    error_s = pm.Normal('error_s', mu=0.0, sd=1.)
    Vt = EulerMaruyama('Vt', 1.0, lin_sde, [sigma_v, rho, alpha_v, beta_v, error_s], shape=len(returns),testval=np.repeat(.01,len(returns)))
    expected = pm.Deterministic('expected', np.sqrt(Vt) * error_s)
    Yt = pm.Normal('Yt', mu=expected, sd=0.0001, observed=returns)
        
with sp500_model:
    trace = pm.sample(2000,chains=1,cores=1)

Here is the traceback:

Traceback (most recent call last):

  File "<ipython-input-34-58522298a257>", line 21, in <module>
    trace = pm.sample(2000,chains=1,cores=1)

  File "C:\ProgramData\Anaconda3\lib\site-packages\pymc3\sampling.py", line 469, in sample
    trace = _sample_many(**sample_args)

  File "C:\ProgramData\Anaconda3\lib\site-packages\pymc3\sampling.py", line 515, in _sample_many
    step=step, random_seed=random_seed[i], **kwargs)

  File "C:\ProgramData\Anaconda3\lib\site-packages\pymc3\sampling.py", line 559, in _sample
    for it, strace in enumerate(sampling):

  File "C:\Users\X197713\AppData\Roaming\Python\Python36\site-packages\tqdm\_tqdm.py", line 927, in __iter__
    for obj in iterable:

  File "C:\ProgramData\Anaconda3\lib\site-packages\pymc3\sampling.py", line 655, in _iter_sample
    point, states = step.step(point)

  File "C:\ProgramData\Anaconda3\lib\site-packages\pymc3\step_methods\arraystep.py", line 247, in step
    apoint, stats = self.astep(array)

  File "C:\ProgramData\Anaconda3\lib\site-packages\pymc3\step_methods\hmc\base_hmc.py", line 117, in astep
    'might be misspecified.' % start.energy)

ValueError: Bad initial energy: nan. The model might be misspecified.