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Allow hierarchical or no pooling of trend components #35

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nicholasjclark opened this issue Nov 17, 2023 · 1 comment
Open

Allow hierarchical or no pooling of trend components #35

nicholasjclark opened this issue Nov 17, 2023 · 1 comment
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enhancement New feature or request

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@nicholasjclark
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Right now autoregressive and trend variance parameters are 'hierarchical', but the hyperparameters are are fixed (i.e. ar1 ~ normal(0, 0.5)). It would be useful to allow options to learn these hierarchically, i.e.

ar1 ~ normal(ar1mu, ar1sigma);
ar1mu ~ normal(0.5, 0.1);
ar1sigma ~ exponential(5);

This is probably more relevant for variance parameters as different series may have wildly different dynamics

@nicholasjclark nicholasjclark added the enhancement New feature or request label Apr 11, 2024
@nicholasjclark
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If this goes ahead it'll undoubtedly need the noncentred parameterisation

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