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tcassou / causal_impact

Python package for causal inference using Bayesian structural time-series models.
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Add seasonal component to state-space model. #1

Closed tcassou closed 7 years ago

tcassou commented 7 years ago
davidcereal commented 6 years ago

Hi @tcassou, I see you switched from PyMC to statsmodels. For my own edification would you mind explaining that decision?

tcassou commented 6 years ago

Hi @dberger1989,

And thanks for your note.

There were a few reasons, the main one being that statsmodels implements the exact state space model I was looking for. On top of that, specifying it with PyMC turned out to be less straightforward (in particular for the seasonal component), and ended up being slow / not converging very well.

It could be that I missed simple ways of doing it though, so if you have something in mind feel free to send a pull request, I like the flexibility of PyMC!

Thomas