Closed adoherty21 closed 11 months ago
Hi @adoherty21, thanks for the kind words.
If you are interesting in structural time series models you might be interested in sts-jax a sister library built on top of dynamax for precisely this use case!
In response to your questions:
ParameterProperties
. For instance in your notebook this is generated by lgssm.initialize
and then passed as an argument into fit_sgd
.You can add a tfp.Bijector
to a particular parameter in this props
object in order to constrain this parameter when using fit_sgd
. Let me know if that makes sense.
Thanks a lot @gileshd.
That makes sense for constraining.
Regarding missing values I will start to think about the implementation and make time to contribute.
Closed.
Apologies if this is not the right place for this question.
I am evaluating
dynamax
for implementing simple, fast and efficient structural time series models for imputation/univariate forecasting and dynamic regression. I am impressed with the API, however, there are a couple of blockers for me using the library. I was wondering you would be able to provide some insight into:fit_sgd
. I have looked into the source code and have seen thefrom_unconstrained
function, however, I am unsure how to use this to constrain a single parameter before fitting.The notebook I am using to investigate is here.
I would be happy to contribute if there is anything I can help with.