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

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