functional.time_series()

Sample a time-varying latent over the full horizon.

Usage

Source

functional.time_series(
    h,
    name,
    dist_fn,
    *,
    reparam=None,
)

The in-sample portion is sampled under plate("time", t) with the fixed site name; when forecasting, the horizon portion is sampled under a separate site f"{name}_future" and concatenated. The separate site keeps the guide shape fixed and lets Predictive draw the forecast suffix from the prior.

Parameters

h: Horizon

The horizon for the current model call (see Horizon).

name: str

Base sample-site name for the in-sample latent.

dist_fn: Callable[[], dist.Distribution]

Zero-argument callable returning the per-step prior distribution.

reparam: Reparam | None = None

Optional reparameterization (e.g. LocScaleReparam) applied to both the in-sample and forecast sites.

Returns

Array

The latent over the full horizon with time at axis -2.