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Non-scalar eta in HSGP #1281

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wd60622 opened this issue Dec 14, 2024 · 0 comments
Open

Non-scalar eta in HSGP #1281

wd60622 opened this issue Dec 14, 2024 · 0 comments
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enhancement New feature or request TVPs Related to time varying parameters

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@wd60622
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wd60622 commented Dec 14, 2024

Similar to #1280, I would like to be able to use non-scalar (including hierarchical) scales in HSGP class.

This might be easier to implement than #1280 depending if pymc.gp.HSGP handles the dims via prior_linearized the ls.

Implementation Location :

cov_func = eta**2 * cov_funcs[self.cov_func.lower()](input_dim=1, ls=ls)
gp = pm.gp.HSGP(
m=[self.m],
L=[self.L],
cov_func=cov_func,
drop_first=self.drop_first,
)
phi, sqrt_psd = gp.prior_linearized(
self.X[:, None] - self.X_mid,
)

@wd60622 wd60622 changed the title Non-scaler scale in HSGP Non-scalar scale in HSGP Dec 14, 2024
@wd60622 wd60622 added enhancement New feature or request TVPs Related to time varying parameters and removed Needs Triage labels Dec 14, 2024
@wd60622 wd60622 changed the title Non-scalar scale in HSGP Non-scalar eta in HSGP Dec 14, 2024
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Labels
enhancement New feature or request TVPs Related to time varying parameters
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