Code

Add ETS model#369

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jessegrabowski merged 21 commits intopymc-devs:mainpymc-devs/pymc-extras:mainfrom jessegrabowski:exponential-smoothingjessegrabowski/pymc-extras:exponential-smoothingCopy head branch name to clipboardOct 25, 2024

+5,070-9

Commits

Commits on Oct 13, 2024

• Add ETS model

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• Add innovation hidden state, data is observed state

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• Adjust statespace to match statsmodels

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• Rebase from main and run new pre-commit

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• Add helper function to sample from statespace models

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• Add BayesianETS and compile_statespace to statespace.__all__

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• Match statsmodels implementation

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• Draft example notebook

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• draft notebook

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• work on example notebook

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• Allow mutlivariate ETS models

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• Add approximate stationary initialization

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• Example notebook for ETS

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• Test for stationary initialization

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• Rename first seasonal state to "seasonality"

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• Add example of decomposition to notebook

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• Use absolute imports in test_ETS

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Commits on Oct 20, 2024

• Apply requested changes

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• Re-run example notebook

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• Remove special logic for solve_discrete_lyapunov

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• Simplify docstring

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