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1,255 changes: 415 additions & 840 deletions notebooks/Exponential Trend Smoothing.ipynb

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156 changes: 109 additions & 47 deletions notebooks/Making a Custom Statespace Model.ipynb

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555 changes: 215 additions & 340 deletions notebooks/SARMA Example.ipynb

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206 changes: 99 additions & 107 deletions notebooks/VARMAX Example.ipynb

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4 changes: 2 additions & 2 deletions pymc_extras/statespace/models/SARIMAX.py
Original file line number Diff line number Diff line change
Expand Up @@ -293,11 +293,11 @@ def param_info(self) -> dict[str, dict[str, Any]]:
"constraints": "Positive Semi-definite",
},
"sigma_obs": {
"shape": None if self.k_endog == 1 else (self.k_endog,),
"shape": () if self.k_endog == 1 else (self.k_endog,),
"constraints": "Positive",
},
"sigma_state": {
"shape": None if self.k_posdef == 1 else (self.k_posdef,),
"shape": () if self.k_posdef == 1 else (self.k_posdef,),
"constraints": "Positive",
},
"ar_params": {
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