tfp.sts.StructuralTimeSeries

Base class for structural time series models.

A StructuralTimeSeries object represents a declarative specification of a structural time series model, including priors on model parameters. It implements a joint probability model p(params, y) = p(params) p(y | params), where params denotes a list of real-valued parameters specified by the child class, and p(y | params) is a linear Gaussian state space model with structure determined by the child class.

parameters list of Parameter namedtuples, each specifying the name and prior distribution of a model parameter along with a bijective transformation from an unconstrained space to the support of that parameter. The order of this list determines the canonical parameter ordering used by fitting and inference algorithms.
latent_size Python int specifying the dimensionality of the latent state space for this model.
name Python str name for this model component.

batch_shape Static batch shape of models represented by this component.
latent_size Python int dimensionality of the latent space in this model.
name Name of this model component.
parameters List of Parameter(name, prior, bijector) namedtuples for this model.

Methods

batch_shape_tensor

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Runtime batch shape of models represented by this component.

Returns
batch_shape int Tensor giving the broadcast batch shape of all model parameters. This should match the batch shape of derived state space models, i.e., self.make_state_space_model(...).batch_shape_tensor().

joint_log_prob

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Build the joint density log p(params) + log p(y|params) as a callable.

Args
observed_time_series Observed Tensor trajectories of shape sample_shape + batch_shape + [num_timesteps, 1] (the trailing 1 dimension is optional if num_timesteps > 1), where batch_shape should match self.batch_shape (the broadcast batch shape of all priors on parameters for this structural time series model). May optionally be an instance of tfp.sts.MaskedTimeSeries, which includes a mask Tensor to specify timesteps with missing observations.

Returns
log_joint_fn A function taking a Tensor argument for each model parameter, in canonical order, and returning a Tensor log probability of shape batch_shape. Note that, unlike tfp.Distributions log_prob methods, the log_joint sums over the sample_shape from y, so that sample_shape does not appear in the output log_prob. This corresponds to viewing multiple samples in y as iid observations from a single model, which is typically the desired behavior for parameter inference.

make_state_space_model

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Instantiate this model as a Distribution over specified num_timesteps.

Args
num_timesteps Python int number of timesteps to model.
param_vals a list of Tensor parameter values in order corresponding to self.parameters, or a dict mapping from parameter names to values.
initial_state_prior an optional Distribution instance overriding the default prior on the model's initial state. This is used in forecasting ("today's prior is yesterday's posterior").
initial_step optional int specifying the initial timestep to model. This is relevant when the model contains time-varying components, e.g., holidays or seasonality.

Returns
dist a LinearGaussianStateSpaceModel Distribution object.

prior_sample

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Sample from the joint prior over model parameters and trajectories.

Args
num_timesteps Scalar int Tensor number of timesteps to model.
initial_step Optional scalar int Tensor specifying the starting timestep. Default value: 0.
params_sample_shape Number of possible worlds to sample iid from the parameter prior, or more generally, Tensor int shape to fill with iid samples. Default value: [] (i.e., draw a single sample and don't expand the shape).
trajectories_sample_shape For each sampled set of parameters, number of trajectories to sample, or more generally, Tensor int shape to fill with iid samples. Default value: [] (i.e., draw a single sample and don't expand the shape).
seed Python int random seed.

Returns
trajectories float Tensor of shape trajectories_sample_shape + params_sample_shape + [num_timesteps, 1] containing all sampled trajectories.
param_samples list of sampled parameter value Tensors, in order corresponding to self.parameters, each of shape params_sample_shape + prior.batch_shape + prior.event_shape.