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Published 20 hours ago • verified publisher icon pymc-labs

ITS: add Bayesian Structural Timeseries model

Open drbenvincent opened this issue 2 years ago • 11 comments

  • This would lead to feature parity with CausalImpact I believe.
  • There is a jax implementation here https://github.com/probml/sts-jax
  • There is a tensorflow implementation here https://github.com/WillianFuks/tfcausalimpact
  • See the issue I created (https://github.com/pymc-devs/pymc/issues/6284) to bring STS functionality to PyMC. This is probably a blocker for progressing this issue.
  • An short term alternative would be to call the jax implementation from within PyMC.

drbenvincent avatar Nov 10 '22 20:11 drbenvincent