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

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Brendan Doner

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Dec 23, 2021, 12:55:01 PM12/23/21
to TensorFlow Probability

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

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Dec 23, 2021, 4:15:58 PM12/23/21
to Brendan Doner, TensorFlow Probability
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.



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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