I have the following bayesian regression [Capture] where I want to estimate the parameters beta which depend on the state s=[1, 2, 3] which are given by an array S. y_it is of shape 100x90 and X_it is of shape 100x90x20 and beta is of shape 20x1 while N=90 refers to the number of individuals, T=9…

Hi again, I had a go at this. Here’s the code: # Make up some random data K = 20 N = 100 T = 90 S = 3 X = np.random.randn(N, T, K) y = np.random.randn(N, T) # Number of states # States, zero-indexed s = np.random.randint(0, S, size=(N, T)) with pm.Model() as model: # Note the added dim…

How to estimate state specific parameters in PyMC3 model

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michnag December 15, 2021, 4:58pm 5

Works fine.
Thanks a lot!

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How to estimate state specific parameters in PyMC3 model

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