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

Questions

jrosskopf July 1, 2018, 12:00pm 5

Very, cool. Tried both version. Both work fine. I don’t see a huge performance difference between the version with, or without scan. Thank you very much!

1 Like

Topic		Replies	Views
How to implement vector autoregression with interdependencies? Questions	4	1684	June 15, 2021
Vector Autoregressions? Questions	4	1211	January 2, 2020
Autocorrelation in a model Questions	8	1737	May 10, 2018
Vanilla autoregressive model? Questions	2	609	November 30, 2020
AR model "too many indices for array" Questions	1	1784	January 18, 2019

Vectorized autoregressive model

Related topics