AmpersandTV / pymc3-hmm

Hidden Markov models in PyMC3
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Allow time-varying transition probability matrices #17

Closed brandonwillard closed 4 years ago

brandonwillard commented 4 years ago

This PR introduces updates that allow for time-varying transition probability matrices.

brandonwillard commented 4 years ago

All right, the basics appear to be in working order. Here are some of the stand-out high-level changes:

While running the current tests, I did notice that FFBS sampling was a little slow. I've been thinking about finally using the Cython code I wrote for this a while back (after making the adjustments introduced here), but I'll save that for the next PR, if necessary.

Otherwise, I'm open to more scrutiny/testing, since there were a lot of important and sometimes confusing changes introduced here.

brandonwillard commented 4 years ago

FYI: I'm writing tests to determine whether or not the log-likelihoods are being computed correctly.