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davidtedfordholt / fable.bsts

Implementation of the bsts package for use with the fable framework
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add xreg() special #4

Open davidtedfordholt opened 4 years ago

davidtedfordholt commented 4 years ago

External regressors added as a column name will be added with AddDynamicRegression with default priors. xreg special will be used to include prior specification.

davidtedfordholt commented 4 years ago

Not sure if the best thing to do is deal with only one regressor at a time (multiple xreg() specials, if you want to specify different priors). Probably need to ask Steven.

davidtedfordholt commented 4 years ago

I'm stuck with being unable to call xreg explicitly, which makes me unable to differentiate between dynamic regression and regression. It also makes it impossible to set priors for exogenous regressors. Asking Mitch about whether this is how it's implemented in fable.prophet (which I copied), or how it's implemented in fabletools.