Add some state space model examples ported from dynamax#267
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Five worked examples under docs/tutorials/state_space_models/, adapted from the dynamax notebooks and reimplemented with the dynestyx API
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Thanks Theo!! This looks great! I'll take a closer look after #266 merges (and try to take care of any merge conflicts that introduces).
I agree |
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Thanks @theorashid ! Let me take a detailed look 🙏 ! Exiting! |
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Adds a "State Space Models" section adapted from some dynamax examples and reimplemented with the dynestyx API. Some changes from dynamax:
cuthbertbackend;ekf_mlpusescd_dynamaxfor its Jacobian-based EKF (cuthbert's Taylor EKF doesn't fit the MLP)lgssm_learning(dynestyx has no EM); Bayesian route uses NUTSflax.nnxmkdocs.yml: new nav section + MathJax switched to SVG (fixes matrix delimiter rendering site-wide)ekf_mlpemits a harmlesscd_dynamaxUserWarningDon't think this is relevant here?
cc @juanitorduz: this should help with #264 to see how to do basic SSMs. We should port over an example for a basic ETS model (or similar structural model). At some point, I'd like to do an example like the online MLP where we get a new data point (in time) and we online update both the filtered forecast and the hyperparameter estimate. I know they're looking into a similar (non-forecasting) example in cuthbert for this too.