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wwrechard / pydlm

A python library for Bayesian time series modeling
BSD 3-Clause "New" or "Revised" License
475 stars 98 forks source link

Spike and Slab Prior #35

Open manujosephv opened 6 years ago

manujosephv commented 6 years ago

Hi,

I was searching for an alternative for bsts(R) in Python and stumbled on this gem.

As far as I understand there is no difference between bsts and pydlm, except for the fact that bsts uses a Spike and Slab prior in its regressor(to induce sparsity)

Is there any plan to include an option to use a spike and slab prior in pydlm?