tensorflow / tensorflow/probability
Add support for multivariate structural time series
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Description
Are there any plans or existing prototypes for extending the TFP STS API to handle multivariate observations?
I must admit to being somewhat new to STS, but I don't see any obvious theoretical limitations. There seems to be existing literature on the subject.
I would also be interested in possibly contributing to this extension!
Contributor guide
First steps
- Read the whole issue, then the project's contributing guide.
- Comment on the issue to say you are picking it up — it saves two people doing the same work.
- Fork the repository and make your change on a branch.
- Open a pull request that references the issue number.
Research direction
Begin by reviewing the TFP STS API and the existing literature on multivariate structural time series. The issue does not identify files, tests, an entry point, or a defined acceptance criterion, so the required API design and implementation scope must be established before coding.
Written by the indexing model from the issue text.
Assessment
- Tech stack
- tensorflow
- Domain
- machine-learning
- Issue type
- Feature
- Difficulty
- 5/5
- Estimated time
- Over a week
- Activity status
- Stale
- Clarity
- Needs clarification
- Newbie friendliness
- 25/100