pymc.AR

class pymc.AR(name, rho, *args, steps=None, constant=False, ar_order=None, **kwargs)

Autoregressive process with p lags.

\[x_t = \rho_0 + \rho_1 x_{t-1} + \ldots + \rho_p x_{t-p} + \epsilon_t, \epsilon_t \sim N(0,\sigma^2)\]

The innovation can be parameterized either in terms of precision or standard deviation. The link between the two parametrizations is given by

\[\tau = \dfrac{1}{\sigma^2}\]

Parameters:

rhotensor_like of float

Tensor of autoregressive coefficients. The n-th entry in the last dimension is the coefficient for the n-th lag.

sigmatensor_like of float, default 1

Standard deviation of innovation (sigma > 0). Only required if tau is not specified.

tautensor_like of float, optional

Precision of innovation (tau > 0).

constantbool, default False

Whether the first element of rho should be used as a constant term in the AR process.

init_distunnamed_distribution, optional

Scalar or vector distribution for initial values. Distributions should have shape (*shape[:-1], ar_order). If not, it will be automatically resized. Defaults to pm.Normal.dist(0, 100, shape=…).

Warning

init_dist will be cloned, rendering it independent of the one passed as input.

ar_orderint, optional

Order of the AR process. Inferred from length of the last dimension of rho, if possible. ar_order = rho.shape[-1] if constant else rho.shape[-1] - 1

stepsint, optional

Number of steps in AR process (steps > 0). Only needed if shape is not provided.

Notes

The init distribution will be cloned, rendering it distinct from the one passed as input.

Examples

# Create an AR of order 3, with a constant term
with pm.Model() as AR3:
    # The first coefficient will be the constant term
    coefs = pm.Normal("coefs", 0, size=4)
    # We need one init variable for each lag, hence size=3
    init = pm.Normal.dist(5, size=3)
    ar3 = pm.AR("ar3", coefs, sigma=1.0, init_dist=init, constant=True, steps=500)

Methods

AR.dist(rho[, sigma, tau, init_dist, steps, ...])

Creates a tensor variable corresponding to the cls distribution.