I have a collection of timeseries that I am trying to model using GaussianRandomWalk. I had success modeling a single timeseries, as follows: with pm.Model() as model: alpha = .1 sigma = pm.HalfCauchy('sigma', 10) mu = pm.GaussianRandomWalk('mu', sig…

Scaling GaussianRandomWalk to multiple timeseries

junpenglao March 1, 2021, 8:57am 2

There is a bug right now in pm.GaussianRandomWalk, take a look at the discussion here might help you: Multiple independent random walks with differing innovations

1 Like

Topic		Replies	Views
Hierarchical Model for Time Series with GaussianRandomWalk Questions	1	673	May 30, 2018
Multiple independent random walks with differing innovations Questions	3	518	January 8, 2021
Gaussian random walk forecasting Questions	0	540	March 3, 2020
Variant of GaussianRandomWalk distribution? Development	2	692	February 3, 2018
Can I instantiate multiple random walks with different drifts Questions	1	622	October 4, 2017