Added multivariate regression-component #3
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Dekermanjian
commented
Jul 5, 2025
Dekermanjian
commented
- updated level_trend component coord/param labels
- Adjusted the regression component to allow multivariate regression component specification
- Added a notebook for quick evaluation of the adjustments and additions made
2. Adjusted the regression component to allow multivariate regression component specification 3. Added a notebook for quick evaluation of the adjustments and additions made
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jessegrabowski
approved these changes
Jul 5, 2025
| self.ssm["transition", :, :] = np.eye(self.k_states) | ||
| self.ssm["initial_state", :] = betas.reshape((1, -1)).squeeze() | ||
| T = np.eye(k_states) | ||
| self.ssm["transition", :, :] = linalg.block_diag(*[T for _ in range(k_endog)]) |
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use pt.linalg.block_diag instead, otherwise pytensor can't reason about the block diag
2. replaced scipy block diag with pytensor block diag 3. Added forecast to test model in multivariate ssm notebook
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