Porting stan model to PyMC

Questions version agnostic
9

A GRW is just the cumulative sum of a bunch of gaussians, so you could do something like:

mu = pm.Normal('mu', mu=0, sigma=1)
sigma = pm.HalfNormal('sigma', sigma=1)
offset = pm.Normal('offset', mu=0, sigma=1, size=T)
grw = (mu + sigma * offset).cumsum()

Make sure to specify the time axis in .cumsum() if you have more dimensions than my simple example.