Closed elray1 closed 3 years ago
in the model section of the stan file, rather than calculating the likelihood, calculate the log predictive density h steps after the last time point. Probably want to write a helper function to do this calculation.
Function: lssm_constant_forecast_log_score (or similar)
lssm_constant_forecast_log_score
Inputs:
y
h
Logic:
Then in the model section of stan file, call target += lssm_constant_forecast_log_score(...)
target += lssm_constant_forecast_log_score(...)
in the model section of the stan file, rather than calculating the likelihood, calculate the log predictive density h steps after the last time point. Probably want to write a helper function to do this calculation.
Function:
lssm_constant_forecast_log_score
(or similar)Inputs:
y
h
Logic:
Then in the model section of stan file, call
target += lssm_constant_forecast_log_score(...)