Multilevel / Hierarchical Structural-Time-Series Model (STS)

[Brendan Doner]

I am working on a problem that has time-series sales data from multiple stores and I want to use a TFP STS model to model the seasonality in the data, but I would like to pool the seasonality parameters across stores using a multilevel model.

Does anyone know if this is possible with TFP or have ideas about how to implement the pooling?

Thanks

[Krzysztof Rusek]

Hi Brenden

This example shows how to convert STS object to distribution so you can use it in your joint distribution in a hierarchical model.

https://github.com/tensorflow/probability/blob/main/tensorflow_probability/examples/jupyter_notebooks/STS_approximate_inference_for_models_with_non_Gaussian_observations.ipynb

Wiadomość napisana przez Brendan Doner <brendan....@gmail.com> w dniu 23.12.2021, o godz. 18:55:

I am working on a problem that has time-series sales data from multiple stores and I want to use a TFP STS model to model the seasonality in the data, but I would like to pool the seasonality parameters across stores using a multilevel model.

Does anyone know if this is possible with TFP or have ideas about how to implement the pooling?

Thanks

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