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steve-the-bayesian / BOOM

A C++ library for Bayesian modeling, mainly through Markov chain Monte Carlo, but with a few other methods supported. BOOM = "Bayesian Object Oriented Modeling". It is also the sound your computer makes when it crashes.
GNU Lesser General Public License v2.1
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Need ARMA and ARIMA models #7

Closed steve-the-bayesian closed 5 years ago

steve-the-bayesian commented 6 years ago

Now that the state space form for ARMA and ARIMA models is clear, add them as state space models. They don't fit as bsts state models, but they can be their own thing.

steve-the-bayesian commented 6 years ago

Should be simple enough. Just define the likelihood using the Kalman filter, and do posterior sampling via SliceSampler (or bouncy, etc).

steve-the-bayesian commented 6 years ago

The "Anything Samplers" approach doesn't work particularly well. The KF is slow enough that likelihood evaluation is a bottleneck.

steve-the-bayesian commented 5 years ago

Closing this for now. We have the models. The samplers are not particularly fast, but they're right.