Hierarchical models in Structural

[gdeleva]

Hi all,

Thanks a lot for the great library you are building.
I was wondering if the module Structural supports also the addition of further dimensions to create hierarchical models.

Thanks.

[jessegrabowski]

Hi @gdeleva !

I believe what you're asking for is batch dimensions on arbitrary models? This is on the roadmap, and being actively developed here.

A separate issue would be to allow multivariate structural models. This is also on the roadmap (it's mentioned here as "Add k_endog argument to structrual.Components to enable multivariate structural models"), but there's no active issue for it yet. Help welcome :)

[gdeleva]

@jessegrabowski Thanks for the kind reply.
Sure. Could you help define an initial ticket in either area?

[AlexAndorra]

Thanks a lot for your interest @gdeleva ! I think adding k_endog to structrual.Components would be a great contribution!
However, I think you'll have to wait for #450 to be merged -- talking under the control of @jessegrabowski

[jessegrabowski]

k_endog would be separate than #450, because it concerns observed states not batch dims. The idea would be to concatenate one statespace per observed dim, and make a single big system

[AlexAndorra]

Ooooh ok! @gdeleva would you be down to start contributing this?