Skip to content
New issue

Have a question about this project? Sign up for a free GitHub account to open an issue and contact its maintainers and the community.

By clicking “Sign up for GitHub”, you agree to our terms of service and privacy statement. We’ll occasionally send you account related emails.

Already on GitHub? Sign in to your account

Add AR model for interrupted time series #4

Open
2 of 4 tasks
drbenvincent opened this issue Sep 27, 2022 · 2 comments
Open
2 of 4 tasks

Add AR model for interrupted time series #4

drbenvincent opened this issue Sep 27, 2022 · 2 comments
Labels
documentation Improvements or additions to documentation enhancement New feature or request

Comments

@drbenvincent
Copy link
Collaborator

drbenvincent commented Sep 27, 2022

#2 added a very simple interrupted time series example with no predictors.

But it would be good to add another example where there is more temporal structure. This would then we well suited for an actual time series model, here an AR model.

  • data generating function, generate_time_series_data (rename this)
  • create a new AutoRegressive subclass of CausalBase

TODO

  • Improve interrupted time series dataset by adding temporal structure
  • Add another dataset with seasonality
  • Implement with scikit-learn or sktime model. But pmdarima actually looks very promising. It wraps statsmodels but provides the fit/predict API.
  • Implement with pymc model
@drbenvincent
Copy link
Collaborator Author

Now we have a sklearn.linear_model.LinearRegression model. When we add month as a categorical variable, this does a good job of fitting the seasonality component.

But we do still need a proper time series model here.

@drbenvincent drbenvincent added the documentation Improvements or additions to documentation label Oct 30, 2022
@drbenvincent drbenvincent added the enhancement New feature or request label Nov 29, 2022
@drbenvincent drbenvincent added this to the Stabilise the feature set milestone Dec 5, 2022
@drbenvincent
Copy link
Collaborator Author

Just dropping in a link to the developments on state space models by @jessegrabowski here https://discourse.pymc.io/t/state-space-models-in-pymc/9146

Sign up for free to join this conversation on GitHub. Already have an account? Sign in to comment
Labels
documentation Improvements or additions to documentation enhancement New feature or request
Projects
None yet
Development

No branches or pull requests

1 participant