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Gibbs sampling inference for structural time series models.
Classes
class GibbsSamplerState: GibbsSamplerState(observation_noise_scale, level_scale, weights, level, seed, slope_scale, slope, seasonal_drift_scales, seasonal_levels)
Functions
build_model_for_gibbs_fitting(...): Builds a StructuralTimeSeries model instance that supports Gibbs sampling.
fit_with_gibbs_sampling(...): Fits parameters for an STS model using Gibbs sampling.
get_seasonal_latents_shape(...): Computes the shape of seasonal latents.
one_step_predictive(...): Constructs a one-step-ahead predictive distribution at every timestep.