Hey, i currently try to reproduce the hierarchical model from Chapados, Nicolas. “Effective Bayesian modeling of groups of related count time series.” arXiv preprint arXiv:1405.3738 (2014). . In the paper they show an approximate inference method but also state, that they where able to get the post…

Actually, the scan part seems unnecessary, try this: import theano.tensor as tt from theano import scan from pymc3.distributions.distribution import Continuous from pymc3.distributions.continuous import get_tau_sd, Normal, Flat class AR(Continuous): R""" Autoregressive process with p lags…

Vectorized autoregressive model

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junpenglao July 1, 2018, 11:43am 4

FYI: I submitted a PR so this would be easier to implement: https://github.com/pymc-devs/pymc3/pull/3070

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Vectorized autoregressive model

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