Dynamical Factor Models (DFM) Implementation (GSOC 2025) #446
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Looks interesting! Just say when you think it's ready for review |
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Check out this pull request on See visual diffs & provide feedback on Jupyter Notebooks. Powered by ReviewNB |
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Thanks for the feedback! I'm still exploring the best approach for implementing Dynamic Factor Models. |
In the notebook a comparison between the custom DFM and the implemented DFM (which has an hardcoded version of make_symbolic_graph, that work just in this case)
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Dynamical Factor Models (DFM) Implementation
This PR provides a first draft implementation of Dynamical Factor Models as part of my application proposal for the PyMC GSoC 2025 project. A draft of my application report can be found at this link.
Overview
DFM.pywith initial functionalityCurrent Status
This implementation is a work in progress and I welcome any feedback
Next Steps