I am using state space models for time series modeling using the following model X_t = X_{t-1} + c + N(0,\sigma^2) \\ y^i \sim Poisson(f(z^i,X_t)) For modeling state space I am using scan function x0_ar = pm.Normal("xo_ar", 0, sigma=1, initval = init_ar, shape=(latent_factors), rng=rng) sigmas_Q…

I guess what do you mean by “super accurate”? The error bars in the plot you posted are quite wide. The usual tools apply for model validation: posterior predictive checks and whatnot. PSIS-LOO is also still valid-ish, see here . I tried to implement a time-series LOO here , but I never finished it. …

Incorrect inference of hidden states in state space models

Questions v5

dushyant August 30, 2023, 12:45am 5

Thanks a lot! The links you shared are very useful.

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Incorrect inference of hidden states in state space models

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