Fixing some issues when we have a vector-valued time-varying parameter in the state-space class + started working on multivariate time series in the structural class.#490
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sangrey wants to merge 4 commits intopymc-devs:mainfrom
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Thanks for this @sangrey ! It would probably be best if we can split this up into three PRs: one for the bug fix, one for the ObservationIntercept component, and one for the |
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Apologies for not getting back to you sooner,. I've been traveling, and busier than I expected beyond that. It could be a bit before I would get the chance to split this up. Also, it looks like you just merged a multivariate state-space model, correct? |
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This PR fixes two issues in the PytensorRepresentation class that affect how time-varying parameters are validated and reshaped.
Changes
I also brought in a bunch of changes to structural.py to get them to work with a multivariate time series.
See the discussion on Discourse here: https://discourse.pymc.io/t/how-do-i-set-a-time-varying-observation-intercept-in-a-state-space-model/17000/8