New Contributor Intro + GSoC’24 State Space Models

Hi all, I’m Alex, a Montreal-based data analyst and masters student in applied math.

I’ve been using Stan professionally for a couple years, but am increasingly curious about PyMC and the community around it. GSoC '24 seems like a great opportunity to get immersed in this world, so I hope to start making contributions with an eye to getting involved in that.

Among the currently posted GSoC '24 projects, the State Space Models project with @jessegrabowski seems especially exciting to me, since it happens to align with my own learning over the last few months – I’ve been reading the Särkkä book which has been really excellent for providing a (fully Bayesian) theoretical foundation, and am currently working on converting + documenting the models in Commandeur & Koopman to PyMC as a way of helping me transition from Stan. I imagine these PyMC conversions would be a nice foundation for contributing to the GSoC project, as well.

I’ll be happy to share the PyMC conversions of Commandeur & Koopman once they’re further along, and would also love to start extending to more advanced models not included in that book, if there are any that would be of greatest interest ahead of the GSoC project. I plan to also start thinking about how to tackle some of those features listed in the roadmap.

Thanks – also, if there are any other Montreal-based modellers in this forum then feel free to reach out!


Hi Alex!

It’s great to see you here – it sounds like you have a great foundation for jumping into PyMC statespace models. If you want to submit any of the Commandeur & Koopman models as example notebooks, that’d be really appreciated. I have a couple example notebooks for the statespace models here, but more would be appreciated.

One thing about the roadmap – it’s in no way complete or set in stone. It’s just a few ideas that immediately came to mind one afternoon. If there’s something you’re particularly interested in, we can see about trying to tackle it. Or, at the very least, add it to the roadmap :slight_smile:

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Salut Alex! Great to hear your interest. I’m one of the many PyMC devs and, while I am studying at UofT now, I grew up in Montreal (and my heart is still there :)). If you ever wanted to chat or say a quick hello, happy to do so - I’ll be back again in a few months

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@jessegrabowski yes for sure, would be great to submit the C&K conversions once they’re further along! Would it make sense for me to do a fork of pymc-experimental and start adding them to a subdirectory of the notebooks folder where your existing statespace examples are living?

@larryshamalama Merci pour ton accueil! Would be great to chat, feel free to get in touch whenever you’re back in mtl for a visit.

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Yeah go ahead and put them in the examples folder and we can figure out what to do more specifically once you open a PR.