contrib.blackjax.PathfinderFit

The result of fitting a forecasting model with BlackJAX Pathfinder.

Usage

Source

contrib.blackjax.PathfinderFit(
    state,
    model,
    covariates,
    data,
    elbo,
)

A plain-data (picklable) container: it holds the raw blackjax PathfinderState, the model and its data/covariates (needed to rebuild the unconstrained-to-constrained transform when drawing), and the fitted ELBO. Draws are produced lazily by ~numpyro_forecast.functional.posterior.draw_posterior().

Attributes

state: Any

The blackjax PathfinderState (the variational approximation).

model: ForecastModel

The forecasting model that was fit.

covariates: Array

In-sample covariates used at fit time (time at axis -2).

data: Array

In-sample data used at fit time (time at axis -2).

elbo: float

The evidence lower bound of the fitted approximation.