Hi all. I’m trying to predict on new data, but pm.sample_posterior_predicitve does not catch the new shape of data. I have tried an approach combining this and this posts, but to no avail. Here’s my latest attempt: import numpy as np import pymc as pm rng = np.random.default_rng(18) score = np.ra…

Your predictions don’t look right. In a time series model you should never have wiggles and dynamics in the average prediction unless you built them in, i.e. with seasonal components or AR terms. For a GRW, your best guess of tomorrow’s value is today’s value, so your predictions should be a straigh…

Sample_posterior_predicitve not catching shape of new data

Questions v5

cluhmann August 18, 2022, 8:59pm 5

Try this?

[Edit:] Which clearly won’t work. I would keep an eye on that issue.

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Sample_posterior_predicitve not catching shape of new data

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