junpenglao, what would it take to port that functionality over to PyMC4? If PyMC is almost ready to be stably based off of Tensorflow Probability, then it shouldn’t be too hard to get bsts from Tensorflow Probability to work, would it? At any rate, what discrete things would need to be done?
I’d be glad to start looking into this and potentially working on it, if some guidance were given. Bayesian Structural time series do not have a good way of being done anywhere, in either R or Python (by my last check), and they personally interest me.