@@ -167,7 +167,9 @@ def exog_pymc_mod(exog_ss_mod, exog_data):
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P0_diag = pm .Gamma ("P0_diag" , alpha = 2 , beta = 4 , dims = ["state" ])
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P0 = pm .Deterministic ("P0" , pt .diag (P0_diag ), dims = ["state" , "state_aux" ])
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- initial_trend = pm .Normal ("initial_trend" , mu = [0 ], sigma = [0.005 ], dims = ["trend_state" ])
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+ initial_trend = pm .Normal (
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+ "level_trend_initial" , mu = [0 ], sigma = [0.005 ], dims = ["level_trend_state" ]
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+ )
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data_exog = pm .Data (
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"data_exog" , exog_data ["x1" ].values [:, None ], dims = ["time" , "exog_state" ]
@@ -184,12 +186,12 @@ def pymc_mod_no_exog(ss_mod_no_exog, rng):
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y = pd .DataFrame (rng .normal (size = (100 , 1 )).astype (floatX ), columns = ["y" ])
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with pm .Model (coords = ss_mod_no_exog .coords ) as m :
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- initial_trend = pm .Normal ("initial_trend " , dims = ["trend_state " ])
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+ initial_trend = pm .Normal ("level_trend_initial " , dims = ["level_trend_state " ])
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P0_sigma = pm .Exponential ("P0_sigma" , 1 )
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P0 = pm .Deterministic (
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"P0" , pt .eye (ss_mod_no_exog .k_states ) * P0_sigma , dims = ["state" , "state_aux" ]
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)
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- sigma_trend = pm .Exponential ("sigma_trend " , 1 , dims = ["trend_shock " ])
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+ sigma_trend = pm .Exponential ("level_trend_sigma " , 1 , dims = ["level_trend_shock " ])
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ss_mod_no_exog .build_statespace_graph (y )
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return m
@@ -204,12 +206,12 @@ def pymc_mod_no_exog_dt(ss_mod_no_exog_dt, rng):
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)
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with pm .Model (coords = ss_mod_no_exog_dt .coords ) as m :
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- initial_trend = pm .Normal ("initial_trend " , dims = ["trend_state " ])
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+ initial_trend = pm .Normal ("level_trend_initial " , dims = ["level_trend_state " ])
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P0_sigma = pm .Exponential ("P0_sigma" , 1 )
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P0 = pm .Deterministic (
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"P0" , pt .eye (ss_mod_no_exog_dt .k_states ) * P0_sigma , dims = ["state" , "state_aux" ]
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)
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- sigma_trend = pm .Exponential ("sigma_trend " , 1 , dims = ["trend_shock " ])
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+ sigma_trend = pm .Exponential ("level_trend_sigma " , 1 , dims = ["level_trend_shock " ])
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ss_mod_no_exog_dt .build_statespace_graph (y )
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return m
@@ -313,7 +315,7 @@ def test_build_statespace_graph_warns_if_data_has_nans():
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ss_mod = st .LevelTrendComponent (order = 1 , innovations_order = 0 ).build (verbose = False )
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with pm .Model () as pymc_mod :
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- initial_trend = pm .Normal ("initial_trend " , shape = (1 ,))
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+ initial_trend = pm .Normal ("level_trend_initial " , shape = (1 ,))
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P0 = pm .Deterministic ("P0" , pt .eye (1 , dtype = floatX ))
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with pytest .warns (pm .ImputationWarning ):
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ss_mod .build_statespace_graph (
@@ -326,7 +328,7 @@ def test_build_statespace_graph_raises_if_data_has_missing_fill():
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ss_mod = st .LevelTrendComponent (order = 1 , innovations_order = 0 ).build (verbose = False )
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with pm .Model () as pymc_mod :
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- initial_trend = pm .Normal ("initial_trend " , shape = (1 ,))
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+ initial_trend = pm .Normal ("level_trend_initial " , shape = (1 ,))
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P0 = pm .Deterministic ("P0" , pt .eye (1 , dtype = floatX ))
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with pytest .raises (ValueError , match = "Provided data contains the value 1.0" ):
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data = np .ones ((10 , 1 ), dtype = floatX )
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