sts_sum: Sum of structural time series components.

In tfprobability: Interface to 'TensorFlow Probability'

Sum of structural time series components.

Description

This class enables compositional specification of a structural time series model from basic components. Given a list of component models, it represents an additive model, i.e., a model of time series that may be decomposed into a sum of terms corresponding to the component models.

Usage

sts_sum(
  observed_time_series = NULL,
  components,
  constant_offset = NULL,
  observation_noise_scale_prior = NULL,
  name = NULL
)

Arguments

observed_time_series	optional float tensor of shape batch_shape + [T, 1] (omitting the trailing unit dimension is also supported when T > 1), specifying an observed time series. Any priors not explicitly set will be given default values according to the scale of the observed time series (or batch of time series). May optionally be an instance of sts_masked_time_series, which includes a mask tensor to specify timesteps with missing observations. Default value: NULL.
components	list of one or more StructuralTimeSeries instances. These must have unique names.
constant_offset	optional scalar float tensor, or batch of scalars, specifying a constant value added to the sum of outputs from the component models. This allows the components to model the shifted series observed_time_series - constant_offset. If NULL, this is set to the mean of the provided observed_time_series. Default value: NULL.
observation_noise_scale_prior	optional tfd$Distribution instance specifying a prior on observation_noise_scale. If NULL, a heuristic default prior is constructed based on the provided observed_time_series. Default value: NULL.
name	string name of this model component; used as name_scope for ops created by this class. Default value: 'Sum'.

Details

Formally, the additive model represents a random process g[t] = f1[t] + f2[t] + ... + fN[t] + eps[t], where the f's are the random processes represented by the components, and eps[t] ~ Normal(loc=0, scale=observation_noise_scale) is an observation noise term. See the AdditiveStateSpaceModel documentation for mathematical details.

This model inherits the parameters (with priors) of its components, and adds an observation_noise_scale parameter governing the level of noise in the observed time series.

Value

an instance of StructuralTimeSeries.

See Also

For usage examples see sts_fit_with_hmc(), sts_forecast(), sts_decompose_by_component().

Other sts: sts_additive_state_space_model(), sts_autoregressive_state_space_model(), sts_autoregressive(), sts_constrained_seasonal_state_space_model(), sts_dynamic_linear_regression_state_space_model(), sts_dynamic_linear_regression(), sts_linear_regression(), sts_local_level_state_space_model(), sts_local_level(), sts_local_linear_trend_state_space_model(), sts_local_linear_trend(), sts_seasonal_state_space_model(), sts_seasonal(), sts_semi_local_linear_trend_state_space_model(), sts_semi_local_linear_trend(), sts_smooth_seasonal_state_space_model(), sts_smooth_seasonal(), sts_sparse_linear_regression()

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