Dynamical Factor Models (DFM) Implementation (GSOC 2025) by andreacate · Pull Request #446 · pymc-devs/pymc-extras

Commits on Aug 26, 2025

Added new file DFM.py for GSOC 2025 Dynamical Factor Models

andreacate
authored and
jessegrabowski
committed
Add initial notebook on custom DFM implementation

andreacate
authored and
jessegrabowski
committed
Update of DFM draft implementation

andreacate
authored and
jessegrabowski
committed
Aligning the order of vector state with statsmodel and updating the test

andreacate
authored and
jessegrabowski
committed
Added test_DFM_update_matches_statsmodels and small corrections to DFM.py

andreacate
authored and
jessegrabowski
committed
Updating test following test_ETS.py and small adjustment for exog variables in DFM.py

andreacate
authored and
jessegrabowski
committed
Added support for joint VAR modelling (error_var=True)

andreacate
authored and
jessegrabowski
committed
Adding a first implemntation of exogeneous variable support based on pymc_extras/statespace/models/structural/components/regression.py

andreacate
authored and
jessegrabowski
committed
Completing the implementation of exogeneous varibales support

andreacate
authored and
jessegrabowski
committed
Small adjustments and improvements in DFM.py

andreacate
authored and
jessegrabowski
committed
Small adjustments and improvements in DFM.py

andreacate
authored and
jessegrabowski
committed
Adjustments after Jesse review

andreacate
authored and
jessegrabowski
committed
Adjustments following Jesse suggestions and added tests for exog support

andreacate
authored and
jessegrabowski
committed
Added new DFM example notebook and deleted an old version of custom DFM example

andreacate
authored and
jessegrabowski
committed
Add tests for names/dims/coords
jessegrabowski
committed
De-duplicate exogenous dim between DFM and SARIMAX
jessegrabowski
committed
Small adjustments and refactoring after code review
andreacate
committed

Commits on Aug 27, 2025

Commits on Aug 31, 2025

Corrections in the notebook and add a small comment in DFM.py
andreacate
committed

Commits on Sep 6, 2025

Add deterministic advi (#564)

authored and
andreacate
committed
Small adjustments in the notebook
andreacate
committed

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Dynamical Factor Models (DFM) Implementation (GSOC 2025)#446

Dynamical Factor Models (DFM) Implementation (GSOC 2025)#446
jessegrabowski merged 24 commits intopymc-devs:mainfrom
andreacate:DFM_draft_implementation

Commits on Aug 26, 2025

Added new file DFM.py for GSOC 2025 Dynamical Factor Models

Add initial notebook on custom DFM implementation

Update of DFM draft implementation

Aligning the order of vector state with statsmodel and updating the test

Added test_DFM_update_matches_statsmodels and small corrections to DFM.py

Updating test following test_ETS.py and small adjustment for exog variables in DFM.py

Added support for joint VAR modelling (error_var=True)

Adding a first implemntation of exogeneous variable support based on pymc_extras/statespace/models/structural/components/regression.py

Completing the implementation of exogeneous varibales support

Small adjustments and improvements in DFM.py

Small adjustments and improvements in DFM.py

Adjustments after Jesse review

Adjustments following Jesse suggestions and added tests for exog support

Added new DFM example notebook and deleted an old version of custom DFM example

Add tests for names/dims/coords

De-duplicate exogenous dim between DFM and SARIMAX

Small adjustments and refactoring after code review

Commits on Aug 27, 2025

Allow exogenous regressors in `BayesianVARMAX` (#567)

Small adjustments in the tests after review

Harmonizing names for EXOG dimension between DFM and VARMAX

Merge branch 'main' into DFM_draft_implementation

Commits on Aug 31, 2025

Corrections in the notebook and add a small comment in DFM.py

Commits on Sep 6, 2025

Add deterministic advi (#564)

Small adjustments in the notebook

Dynamical Factor Models (DFM) Implementation (GSOC 2025)#446jessegrabowski merged 24 commits intopymc-devs:mainpymc-devs/pymc-extras:mainfrom andreacate:DFM_draft_implementationandreacate/pymc-extras:DFM_draft_implementationCopy head branch name to clipboard

Commits

Commits on Aug 26, 2025

Commits on Aug 27, 2025

Commits on Aug 31, 2025

Commits on Sep 6, 2025

Dynamical Factor Models (DFM) Implementation (GSOC 2025)#446
jessegrabowski merged 24 commits intopymc-devs:mainfrom
andreacate:DFM_draft_implementation