Add k_endog argument to structrual Components
to enable multivariate structural models
#485
Labels
structrual Components
to enable multivariate structural models
#485
Currently, we can only do univariate timeseries analysis with the
structural
framework. There's no reason for this -- the same framework can be extended to multiple time series. We would just need some extra API to support it. Basically:k_endog
andendog_names
arguments, which would determine how many variables we're modelingbuild
, we need to gather up the set union of all endog_names. They don't have to all match, because we could have some components in one but not anotherZ
matrix to map the right hidden states to the right observations.The biggest challenge would be if we want to allow latent state sharing. For example, I could imagine a model where we want several time series to share the same
LevelTrend
component. In this case, we might need an additional argument, likeshared_endog_names
or something? Then instead of copying + block-concatenating the relevant matrices, we map all the different observed timeseries to the same hidden states via the Z matrix.Obviously this is all just off the top of my head, suggestions/criticisms highly welcome.
The text was updated successfully, but these errors were encountered: