Revert functional changes during rename

Author: ricardoV94

docs/statespace/filters.rst

@@ -9,4 +9,5 @@ Kalman Filters
     StandardFilter
     UnivariateFilter
     KalmanSmoother
+    SquareRootFilter
     LinearGaussianStateSpace

pymc_extras/__init__.py

@@ -27,5 +27,3 @@
     if len(_log.handlers) == 0:
         handler = logging.StreamHandler()
         _log.addHandler(handler)
-
-__all__ = ["fit", "MarginalModel", "marginalize", "as_model"]

pymc_extras/model/marginal/graph_analysis.py

@@ -5,7 +5,6 @@
 
 from pymc import SymbolicRandomVariable
 from pytensor.compile import SharedVariable
-from pytensor.compile.builders import OpFromGraph
 from pytensor.graph import Constant, Variable, ancestors
 from pytensor.graph.basic import io_toposort
 from pytensor.tensor import TensorType, TensorVariable
@@ -17,6 +16,8 @@
 from pytensor.tensor.subtensor import AdvancedSubtensor, Subtensor, get_idx_list
 from pytensor.tensor.type_other import NoneTypeT
 
+from pymc_extras.model.marginal.distributions import MarginalRV
+
 
 def static_shape_ancestors(vars):
     """Identify ancestors Shape Ops of static shapes (therefore constant in a valid graph)."""
@@ -62,7 +63,7 @@ def find_conditional_dependent_rvs(dependable_rv, all_rvs):
 
 
 def get_support_axes(op) -> tuple[tuple[int, ...], ...]:
-    if hasattr(op, "support_axes"):
+    if isinstance(op, MarginalRV):
         return op.support_axes
     else:
         # For vanilla RVs, the support axes are the last ndim_supp
@@ -145,7 +146,7 @@ def _subgraph_batch_dim_connection(var_dims: VAR_DIMS, input_vars, output_vars)
             output_dims = tuple(None if i == "x" else input_dims[i] for i in node.op.new_order)
             var_dims[node.outputs[0]] = output_dims
 
-        elif (isinstance(node.op, OpFromGraph) and hasattr(node.op, "support_axes")) or (
+        elif isinstance(node.op, MarginalRV) or (
             isinstance(node.op, SymbolicRandomVariable) and node.op.extended_signature is None
         ):
             # MarginalRV and SymbolicRandomVariables without signature are a wild-card,
@@ -159,7 +160,7 @@ def _subgraph_batch_dim_connection(var_dims: VAR_DIMS, input_vars, output_vars)
             )
 
             support_axes = iter(get_support_axes(op))
-            if hasattr(op, "support_axes"):
+            if isinstance(op, MarginalRV):
                 # The first output is the marginalized variable for which we don't compute support axes
                 support_axes = itertools.chain(((),), support_axes)
             for i, (out, inner_out) in enumerate(zip(node.outputs, inner_outputs)):

pymc_extras/statespace/core/statespace.py

@@ -19,6 +19,7 @@
 from pymc_extras.statespace.core.representation import PytensorRepresentation
 from pymc_extras.statespace.filters import (
     KalmanSmoother,
+    SquareRootFilter,
     StandardFilter,
     UnivariateFilter,
 )
@@ -50,6 +51,7 @@
 FILTER_FACTORY = {
     "standard": StandardFilter,
     "univariate": UnivariateFilter,
+    "cholesky": SquareRootFilter,
 }
 
 

pymc_extras/statespace/filters/__init__.py

@@ -1,5 +1,6 @@
 from pymc_extras.statespace.filters.distributions import LinearGaussianStateSpace
 from pymc_extras.statespace.filters.kalman_filter import (
+    SquareRootFilter,
     StandardFilter,
     UnivariateFilter,
 )
@@ -9,5 +10,6 @@
     "StandardFilter",
     "UnivariateFilter",
     "KalmanSmoother",
+    "SquareRootFilter",
     "LinearGaussianStateSpace",
 ]

pymc_extras/statespace/models/utilities.py

@@ -233,8 +233,8 @@ def make_SARIMA_transition_matrix(
                         0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 & 0 \end{bmatrix}
 
     When ARIMA differences and seasonal differences are mixed, the seasonal differences will be written in terms of the
-    highest ARIMA difference order, and recovery of the level state will require the use of all the ARIMA
-    differences, as well as the seasonal differences. In addition, the seasonal differences are needed to back out the ARIMA
+    highest ARIMA difference order, and recovery of the level state will require the use of all the ARIMA differences,
+    as well as the seasonal differences. In addition, the seasonal differences are needed to back out the ARIMA
     differences from :math:`x_t^\star`. Here is the differencing block for a SARIMA(0,2,0)x(0,2,0,4) -- the identites
     of the states is left an exercise for the motivated reader:
 

tests/statespace/test_coord_assignment.py

@@ -11,17 +11,12 @@
 from pymc_extras.statespace.utils.constants import (
     FILTER_OUTPUT_DIMS,
     FILTER_OUTPUT_NAMES,
-    JITTER_DEFAULT,
-    LONG_MATRIX_NAMES,
-    MISSING_FILL,
-    SHORT_NAME_TO_LONG,
     SMOOTHER_OUTPUT_NAMES,
     TIME_DIM,
 )
 from pymc_extras.statespace.utils.data_tools import (
     NO_FREQ_INFO_WARNING,
     NO_TIME_INDEX_WARNING,
-    register_data_with_pymc,
 )
 from tests.statespace.utilities.test_helpers import load_nile_test_data
 

tests/statespace/test_distributions.py

@@ -10,17 +10,12 @@
 from pymc_extras.statespace import structural
 from pymc_extras.statespace.filters.distributions import (
     LinearGaussianStateSpace,
-    LinearGaussianStateSpaceRV,
     SequenceMvNormal,
     _LinearGaussianStateSpace,
 )
 from pymc_extras.statespace.utils.constants import (
     ALL_STATE_DIM,
-    JITTER_DEFAULT,
-    LONG_MATRIX_NAMES,
-    MISSING_FILL,
     OBS_STATE_DIM,
-    SHORT_NAME_TO_LONG,
     TIME_DIM,
 )
 from tests.statespace.utilities.shared_fixtures import (  # pylint: disable=unused-import
@@ -41,7 +36,7 @@
 
 filter_names = [
     "standard",
-    # "cholesky",
+    "cholesky",
     "univariate",
 ]
 

tests/statespace/test_kalman_filter.py

@@ -7,6 +7,7 @@
 
 from pymc_extras.statespace.filters import (
     KalmanSmoother,
+    SquareRootFilter,
     StandardFilter,
     UnivariateFilter,
 )
@@ -30,17 +31,18 @@
 RTOL = 1e-6 if floatX.endswith("64") else 1e-3
 
 standard_inout = initialize_filter(StandardFilter())
-# cholesky_inout = initialize_filter(CholeskyFilter())
+cholesky_inout = initialize_filter(SquareRootFilter())
 univariate_inout = initialize_filter(UnivariateFilter())
 
 f_standard = pytensor.function(*standard_inout, on_unused_input="ignore")
-# f_cholesky = pytensor.function(*cholesky_inout, on_unused_input="ignore")
+f_cholesky = pytensor.function(*cholesky_inout, on_unused_input="ignore")
 f_univariate = pytensor.function(*univariate_inout, on_unused_input="ignore")
 
-filter_funcs = [f_standard, f_univariate]
+filter_funcs = [f_standard, f_cholesky, f_univariate]
 
 filter_names = [
     "StandardFilter",
+    "CholeskyFilter",
     "UnivariateFilter",
 ]
 
@@ -229,8 +231,8 @@ def test_last_smoother_is_last_filtered(filter_func, output_idx, rng):
 @pytest.mark.skipif(floatX == "float32", reason="Tests are too sensitive for float32")
 def test_filters_match_statsmodel_output(filter_func, filter_name, n_missing, rng):
     fit_sm_mod, [data, a0, P0, c, d, T, Z, R, H, Q] = nile_test_test_helper(rng, n_missing)
-    # if filter_name == "CholeskyFilter":
-    #     P0 = np.linalg.cholesky(P0)
+    if filter_name == "CholeskyFilter":
+        P0 = np.linalg.cholesky(P0)
     inputs = [data, a0, P0, c, d, T, Z, R, H, Q]
     outputs = filter_func(*inputs)
 
@@ -278,8 +280,8 @@ def test_all_covariance_matrices_are_PSD(filter_func, filter_name, n_missing, ob
         pytest.skip("Univariate filter not stable at half precision without measurement error")
 
     fit_sm_mod, [data, a0, P0, c, d, T, Z, R, H, Q] = nile_test_test_helper(rng, n_missing)
-    # if filter_name == "CholeskyFilter":
-    #     P0 = np.linalg.cholesky(P0)
+    if filter_name == "CholeskyFilter":
+        P0 = np.linalg.cholesky(P0)
 
     H *= int(obs_noise)
     inputs = [data, a0, P0, c, d, T, Z, R, H, Q]
@@ -301,8 +303,8 @@ def test_all_covariance_matrices_are_PSD(filter_func, filter_name, n_missing, ob
 
 @pytest.mark.parametrize(
     "filter",
-    [StandardFilter],
-    ids=["standard"],
+    [StandardFilter, SquareRootFilter],
+    ids=["standard", "cholesky"],
 )
 def test_kalman_filter_jax(filter):
     pytest.importorskip("jax")

tests/statespace/test_statespace.py

@@ -14,14 +14,8 @@
 from pymc_extras.statespace.models.utilities import make_default_coords
 from pymc_extras.statespace.utils.constants import (
     FILTER_OUTPUT_NAMES,
-    JITTER_DEFAULT,
-    LONG_MATRIX_NAMES,
     MATRIX_NAMES,
-    MISSING_FILL,
-    NEVER_TIME_VARYING,
-    SHORT_NAME_TO_LONG,
     SMOOTHER_OUTPUT_NAMES,
-    VECTOR_VALUED,
 )
 from tests.statespace.utilities.shared_fixtures import (
     rng,