tfp.sts.SemiLocalLinearTrend

See Stable See Nightly

View source on GitHub

Formal representation of a semi-local linear trend model.

Inherits From: StructuralTimeSeries

tfp.sts.SemiLocalLinearTrend(
    level_scale_prior=None, slope_mean_prior=None, slope_scale_prior=None,
    autoregressive_coef_prior=None, initial_level_prior=None,
    initial_slope_prior=None, observed_time_series=None,
    constrain_ar_coef_stationary=True, constrain_ar_coef_positive=False, name=None
)

Like the LocalLinearTrend model, a semi-local linear trend posits a latent level and slope, with the level component updated according to the current slope plus a random walk:

level[t] = level[t-1] + slope[t-1] + Normal(0., level_scale)

The slope component in a SemiLocalLinearTrend model evolves according to a first-order autoregressive (AR1) process with potentially nonzero mean:

slope[t] = (slope_mean +
            autoregressive_coef * (slope[t-1] - slope_mean) +
            Normal(0., slope_scale))

Unlike the random walk used in LocalLinearTrend, a stationary AR1 process (coefficient in (-1, 1)) maintains bounded variance over time, so a SemiLocalLinearTrend model will often produce more reasonable uncertainties when forecasting over long timescales.

Args
level_scale_prior	optional tfd.Distribution instance specifying a prior on the level_scale parameter. If None, a heuristic default prior is constructed based on the provided observed_time_series. Default value: None.
slope_mean_prior	optional tfd.Distribution instance specifying a prior on the slope_mean parameter. If None, a heuristic default prior is constructed based on the provided observed_time_series. Default value: None.
slope_scale_prior	optional tfd.Distribution instance specifying a prior on the slope_scale parameter. If None, a heuristic default prior is constructed based on the provided observed_time_series. Default value: None.
autoregressive_coef_prior	optional tfd.Distribution instance specifying a prior on the autoregressive_coef parameter. If None, the default prior is a standard Normal(0., 1.). Note that the prior may be implicitly truncated by constrain_ar_coef_stationary and/or constrain_ar_coef_positive. Default value: None.
initial_level_prior	optional tfd.Distribution instance specifying a prior on the initial level. If None, a heuristic default prior is constructed based on the provided observed_time_series. Default value: None.
initial_slope_prior	optional tfd.Distribution instance specifying a prior on the initial slope. If None, a heuristic default prior is constructed based on the provided observed_time_series. Default value: None.
observed_time_series	optional float Tensor of shape batch_shape + [T, 1] (omitting the trailing unit dimension is also supported when T > 1), specifying an observed time series. Any priors not explicitly set will be given default values according to the scale of the observed time series (or batch of time series). May optionally be an instance of tfp.sts.MaskedTimeSeries, which includes a mask Tensor to specify timesteps with missing observations. Default value: None.
constrain_ar_coef_stationary	if True, perform inference using a parameterization that restricts autoregressive_coef to the interval (-1, 1), or (0, 1) if force_positive_ar_coef is also True, corresponding to stationary processes. This will implicitly truncates the support of autoregressive_coef_prior. Default value: True.
constrain_ar_coef_positive	if True, perform inference using a parameterization that restricts autoregressive_coef to be positive, or in (0, 1) if constrain_ar_coef_stationary is also True. This will implicitly truncate the support of autoregressive_coef_prior. Default value: False.
name	the name of this model component. Default value: 'SemiLocalLinearTrend'.

Attributes
batch_shape	Static batch shape of models represented by this component.
initial_state_prior	Prior distribution on the initial latent state (level and scale).
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

View source

batch_shape_tensor()

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

View source

joint_log_prob(
    observed_time_series
)

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

View source

make_state_space_model(
    num_timesteps, param_vals, initial_state_prior=None, initial_step=0
)

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

View source

prior_sample(
    num_timesteps, initial_step=0, params_sample_shape=(),
    trajectories_sample_shape=(), seed=None
)

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.