Hi, Is there a way to recover the latent series (h) from this code? It is an AR(1) process with stochastic volatility. Thanks import pymc as pm import numpy as np import matplotlib.pyplot as plt # Generate sample data np.random.seed(123) T = 1000 alpha = 0.9 beta = 0.98 sigma_u = 0.1 sigma_v = 0.0…

Recover latent state in time series

pguerron May 4, 2024, 2:43pm 3

Thanks. This is super useful.

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