Hello, I’m trying to replicate the following from the Rolling Regression example ( Rolling Regression — PyMC example gallery ): # from pandas_datareader import data # prices = data.GoogleDailyReader(symbols=['GLD', 'GFI'], end='2014-8-1').read().loc['Open', :, :] try: prices = pd.read_csv(os.pa…

Multivariate version of Rolling Regression Example

ricardoV94 January 25, 2023, 10:17pm 2

If you are using pymc>4, the time dimension of the MvGaussianRandomWalk (as well as the univariate) has to be the rightmost dimension

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