forecaster.HMCForecaster

Fit a forecasting model with NUTS (Hamiltonian Monte Carlo).

Usage

Source

forecaster.HMCForecaster()

Parameters

rng_key: Array

PRNG key for inference.

model: ForecastModel

The forecasting model to fit (OOP instance or functional model).

data: Array

In-sample data with time at axis -2.

covariates: Array

Covariates with time at axis -2 and the same duration as data.

num_warmup: int = 1000

Number of warmup steps.

num_samples: int = 1000

Number of posterior samples.

num_chains: int = 1

Number of MCMC chains.

progress_bar: bool = False

Whether to display the MCMC progress bar.