Commit 9ec521d
authored
Allow forecasting with exogenous variables (#372)
* Allow forcasting with exogenous variables
* Improve scenario forecasting test
* Wrap user scenarios in dictionary
* Better handling of start date
* Add `append_x0` argument to `LinearGuassianStateSpace`
* Respect `periods` exactly when provided
* Improve forecast-related tests
* Expand test coverage of forecast option combinations
* Make IRF robust to degenerate covariance matrices
Scale rotated covariance matrices to have unit std
* VARMAX parameters had wrong shape
* Solve instead of inverse in kalman step
* Check correct regex in validation test
* Another regex fix
* Remove shutil warning filter1 parent 5de65eb commit 9ec521d
File tree
5 files changed
+1054
-94
lines changed- pymc_experimental/statespace
- core
- filters
- models
- tests/statespace
5 files changed
+1054
-94
lines changed
0 commit comments