A seasonal effect model posits a fixed set of recurring, discrete 'seasons', each of which is active for a fixed number of timesteps and, while active, contributes a different effect to the time series. These are generally not meteorological seasons, but represent regular recurring patterns such as hour-of-day or day-of-week effects. Each season lasts for a fixed number of timesteps. The effect of each season drifts from one occurrence to the next following a Gaussian random walk:
sts_seasonal(
observed_time_series = NULL,
num_seasons,
num_steps_per_season = 1,
drift_scale_prior = NULL,
initial_effect_prior = NULL,
constrain_mean_effect_to_zero = TRUE,
name = NULL
)an instance of StructuralTimeSeries.
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 sts_masked_time_series, which includes
a mask tensor to specify timesteps with missing observations.
Default value: NULL.
Scalar integer number of seasons.
integer number of steps in each
season. This may be either a scalar (shape []), in which case all
seasons have the same length, or an array of shape [num_seasons],
in which seasons have different length, but remain constant around
different cycles, or an array of shape [num_cycles, num_seasons],
in which num_steps_per_season for each season also varies in different
cycle (e.g., a 4 years cycle with leap day). Default value: 1.
optional tfd$Distribution instance specifying a prior
on the drift_scale parameter. If NULL, a heuristic default prior is
constructed based on the provided observed_time_series. Default value: NULL.
optional tfd$Distribution instance specifying a
normal prior on the initial effect of each season. This may be either
a scalar tfd_normal prior, in which case it applies independently to
every season, or it may be multivariate normal (e.g.,
tfd_multivariate_normal_diag) with event shape [num_seasons], in
which case it specifies a joint prior across all seasons. If NULL, a
heuristic default prior is constructed based on the provided
observed_time_series. Default value: NULL.
if TRUE, use a model parameterization
that constrains the mean effect across all seasons to be zero. This
constraint is generally helpful in identifying the contributions of
different model components and can lead to more interpretable
posterior decompositions. It may be undesirable if you plan to directly
examine the latent space of the underlying state space model. Default value: TRUE.
the name of this model component. Default value: 'Seasonal'.
effects[season, occurrence[i]] = (
effects[season, occurrence[i-1]] + Normal(loc=0., scale=drift_scale))
The drift_scale parameter governs the standard deviation of the random walk;
for example, in a day-of-week model it governs the change in effect from this
Monday to next Monday.
For usage examples see sts_fit_with_hmc(), sts_forecast(), sts_decompose_by_component().
Other sts:
sts_additive_state_space_model(),
sts_autoregressive_state_space_model(),
sts_autoregressive(),
sts_constrained_seasonal_state_space_model(),
sts_dynamic_linear_regression_state_space_model(),
sts_dynamic_linear_regression(),
sts_linear_regression(),
sts_local_level_state_space_model(),
sts_local_level(),
sts_local_linear_trend_state_space_model(),
sts_local_linear_trend(),
sts_seasonal_state_space_model(),
sts_semi_local_linear_trend_state_space_model(),
sts_semi_local_linear_trend(),
sts_smooth_seasonal_state_space_model(),
sts_smooth_seasonal(),
sts_sparse_linear_regression(),
sts_sum()