sts_decompose_by_component: Decompose an observed time series into contributions from...

In tfprobability: Interface to 'TensorFlow Probability'

Decompose an observed time series into contributions from each component.

Description

This method decomposes a time series according to the posterior represention of a structural time series model. In particular, it:

• Computes the posterior marginal mean and covariances over the additive model's latent space.

• Decomposes the latent posterior into the marginal blocks for each model component.

• Maps the per-component latent posteriors back through each component's observation model, to generate the time series modeled by that component.

Usage

sts_decompose_by_component(observed_time_series, model, parameter_samples)

Arguments

observed_time_series	float tensor of shape concat([sample_shape, model.batch_shape, [num_timesteps, 1]]) where sample_shape corresponds to i.i.d. observations, and the trailing [1] dimension may (optionally) be omitted if num_timesteps > 1. May optionally be an instance of sts_masked_time_series, which includes a mask tensor to specify timesteps with missing observations.
model	An instance of sts_sum representing a structural time series model.
parameter_samples	list of tensors representing posterior samples of model parameters, with shapes list(tf$concat(list(list(num_posterior_draws), param<1>$prior$batch_shape, param<1>$prior$event_shape), list(list(num_posterior_draws), param<2>$prior$batch_shape, param<2>$prior$event_shape), ... ) ) for all model parameters. This may optionally also be a named list mapping parameter names to tensor values.

Value

component_dists A named list mapping component StructuralTimeSeries instances (elements of model$components) to Distribution instances representing the posterior marginal distributions on the process modeled by each component. Each distribution has batch shape matching that of posterior_means/posterior_covs, and event shape of list(num_timesteps).

See Also

Other sts-functions: sts_build_factored_surrogate_posterior(), sts_build_factored_variational_loss(), sts_decompose_forecast_by_component(), sts_fit_with_hmc(), sts_forecast(), sts_one_step_predictive(), sts_sample_uniform_initial_state()

Examples

observed_time_series <- array(rnorm(2 * 1 * 12), dim = c(2, 1, 12))
day_of_week <- observed_time_series %>% sts_seasonal(num_seasons = 7, name = "seasonal")
local_linear_trend <- observed_time_series %>% sts_local_linear_trend(name = "local_linear")
model <- observed_time_series %>%
  sts_sum(components = list(day_of_week, local_linear_trend))
states_and_results <- observed_time_series %>%
  sts_fit_with_hmc(
    model,
    num_results = 10,
    num_warmup_steps = 5,
    num_variational_steps = 15
    )
samples <- states_and_results[[1]]

component_dists <- observed_time_series %>%
 sts_decompose_by_component(model = model, parameter_samples = samples)

tfprobability documentation built on Sept. 1, 2022, 5:07 p.m.