Generic prior information over ARMA parameters
It is neccesary to add prior information about ARMA parameters:
Hierarchical linear structure with latent, pure prior and domain restrictions should be added.
Internal mathematical algorithm is trivial due to the only one thing needed is to add log-density of current priors and modify intervals to the intersection with stationarity constraints.
No so easy will be to modify all API's to allow to define it.
Change History (6)
| Milestone: |
→ BSR hierarchy and priors
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| Severity: |
major →
blocker
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| Status: |
assigned →
accepted
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| Type: |
task →
enhancement
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| Severity: |
blocker →
major
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