I’m excited to share this case-study that highlights how you can build a custom state space model using the pymc-extras
state space module.
In the example, we walkthrough building three models with added complexity:
- Newtonian dynamics model
- Newtonian dynamics + Exogenous variables
- Newtonian dynamics + Cubic B-Splines
Considering how large the radius of a hurricane can be, these models perform quite well!
I want to give a huge shoutout and thanks to @jessegrabowski and @fonnesbeck who helped significantly to improve this example.