StateSpaceTimeSeries#

class causalpy.pymc_models.StateSpaceTimeSeries[source]#

State-space time series model using pymc_extras.statespace.structural.

Parameters:

level_order (int, optional) – Order of the local level/trend component. Defaults to 2.
seasonal_length (int, optional) – Seasonal period (e.g., 12 for monthly data with annual seasonality). Defaults to 12.
trend_component (optional) – Custom state-space trend component.
seasonality_component (optional) – Custom state-space seasonal component.
sample_kwargs (dict, optional) – Kwargs passed to pm.sample.
mode (str, optional) – Mode passed to build_statespace_graph (e.g., “JAX”).

Methods

`StateSpaceTimeSeries.__init__`([level_order, ...])
`StateSpaceTimeSeries.add_coord`(name[, ...])	Register a dimension coordinate with the model.
`StateSpaceTimeSeries.add_coords`(coords, *[, ...])	Vectorized version of `Model.add_coord`.
`StateSpaceTimeSeries.add_named_variable`(var)	Add a random graph variable to the named variables of the model.
`StateSpaceTimeSeries.build_model`(X, y, coords)	Build the PyMC state-space model. coords must include:
`StateSpaceTimeSeries.calculate_cumulative_impact`(impact)
`StateSpaceTimeSeries.calculate_impact`(...)
`StateSpaceTimeSeries.check_start_vals`(start, ...)	Check that the logp is defined and finite at the starting point.
`StateSpaceTimeSeries.compile_d2logp`([vars, ...])	Compiled log probability density hessian function.
`StateSpaceTimeSeries.compile_dlogp`([vars, ...])	Compiled log probability density gradient function.
`StateSpaceTimeSeries.compile_fn`(outs, *[, ...])	Compiles a PyTensor function.
`StateSpaceTimeSeries.compile_logp`([vars, ...])	Compiled log probability density function.
`StateSpaceTimeSeries.copy`()	Clone the model.
`StateSpaceTimeSeries.create_value_var`(...[, ...])	Create a `TensorVariable` that will be used as the random variable's "value" in log-likelihood graphs.
`StateSpaceTimeSeries.d2logp`([vars, ...])	Hessian of the models log-probability w.r.t.
`StateSpaceTimeSeries.debug`([point, fn, verbose])	Debug model function at point.
`StateSpaceTimeSeries.dlogp`([vars, jacobian])	Gradient of the models log-probability w.r.t.
`StateSpaceTimeSeries.eval_rv_shapes`()	Evaluate shapes of untransformed AND transformed free variables.
`StateSpaceTimeSeries.fit`(X, y, coords)	Fit the model, drawing posterior samples.
`StateSpaceTimeSeries.get_context`([...])
`StateSpaceTimeSeries.initial_point`([random_seed])	Compute the initial point of the model.
`StateSpaceTimeSeries.logp`([vars, jacobian, sum])	Elemwise log-probability of the model.
`StateSpaceTimeSeries.logp_dlogp_function`([...])	Compile a PyTensor function that computes logp and gradient.
`StateSpaceTimeSeries.make_obs_var`(rv_var, ...)	Create a TensorVariable for an observed random variable.
`StateSpaceTimeSeries.name_for`(name)	Check if name has prefix and adds if needed.
`StateSpaceTimeSeries.name_of`(name)	Check if name has prefix and deletes if needed.
`StateSpaceTimeSeries.point_logps`([point, ...])	Compute the log probability of point for all random variables in the model.
`StateSpaceTimeSeries.predict`(X, coords[, ...])	Wrapper around forecast: expects coords with 'datetime_index' of future points.
`StateSpaceTimeSeries.print_coefficients`(labels)
`StateSpaceTimeSeries.profile`(outs, *[, n, ...])	Compile and profile a PyTensor function which returns `outs` and takes values of model vars as a dict as an argument.
`StateSpaceTimeSeries.register_data_var`(data)	Register a data variable with the model.
`StateSpaceTimeSeries.register_rv`(rv_var, name, *)	Register an (un)observed random variable with the model.
`StateSpaceTimeSeries.replace_rvs_by_values`(...)	Clone and replace random variables in graphs with their value variables.
`StateSpaceTimeSeries.score`(X, y, coords)	Compute R^2 between observed and mean forecast.
`StateSpaceTimeSeries.set_data`(name, values)	Change the values of a data variable in the model.
`StateSpaceTimeSeries.set_dim`(name, new_length)	Update a mutable dimension.
`StateSpaceTimeSeries.set_initval`(rv_var, initval)	Set an initial value (strategy) for a random variable.
`StateSpaceTimeSeries.shape_from_dims`(dims)
`StateSpaceTimeSeries.to_graphviz`(*[, ...])	Produce a graphviz Digraph from a PyMC model.

Attributes

`basic_RVs`	List of random variables the model is defined in terms of.
`continuous_value_vars`	All the continuous value variables in the model.
`coords`	Coordinate values for model dimensions.
`datalogp`	PyTensor scalar of log-probability of the observed variables and potential terms.
`dim_lengths`	The symbolic lengths of dimensions in the model.
`discrete_value_vars`	All the discrete value variables in the model.
`isroot`
`observedlogp`	PyTensor scalar of log-probability of the observed variables.
`parent`
`potentiallogp`	PyTensor scalar of log-probability of the Potential terms.
`prefix`
`root`
`unobserved_RVs`	List of all random variables, including deterministic ones.
`unobserved_value_vars`	List of all random variables (including untransformed projections), as well as deterministics used as inputs and outputs of the model's log-likelihood graph.
`value_vars`	List of unobserved random variables used as inputs to the model's log-likelihood (which excludes deterministics).
`varlogp`	PyTensor scalar of log-probability of the unobserved random variables (excluding deterministic).
`varlogp_nojac`	PyTensor scalar of log-probability of the unobserved random variables (excluding deterministic) without jacobian term.

__init__(level_order=2, seasonal_length=12, trend_component=None, seasonality_component=None, sample_kwargs=None, mode='JAX')[source]#

Parameters:

sample_kwargs (Optional[Dict[str, Any]]) – A dictionary of kwargs that get unpacked and passed to the pymc.sample() function. Defaults to an empty dictionary.
level_order (int)
seasonal_length (int)
trend_component (Any | None)
seasonality_component (Any | None)
mode (str)

classmethod __new__(*args, **kwargs)#