Hi, I’m wondering if there’s an equivalent way in PyMC of doing Rolling OLS as described in the statsmodels package: Rolling OLS applies OLS across a fixed windows of observations and then rolls (moves or slides) the window across the data set. The key parameter is window which determines the num…

Rolling regression basically just runs a bunch of independent regressions and collects the results. You can do that easily in PyMC: from functools import reduce import pymc as pm import arviz as az # Other imports + data preparation as from the statsmodels example def make_window_data(series, win…

Rolling Regression in PyMC

Questions

jroberayalas February 25, 2023, 6:24pm 9

Thanks, Jesse! Really appreciate your help. It has been very insightful.

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Rolling Regression in PyMC

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