StateSpaceTimeSeries.predict

StateSpaceTimeSeries.predict(X, coords=None, out_of_sample=False, **kwargs)

Predict data given input X.

Parameters:

• X (xr.DataArray) – Input features with dims [“obs_ind”, “coeffs”]. Must have datetime coordinates on obs_ind for out-of-sample predictions.

• coords (dict, optional) – Not used directly, datetime extracted from X coordinates.

• out_of_sample (bool, optional) – If True, forecast future values. If False, return in-sample predictions.

• kwargs (Any)

Returns:

Posterior predictive samples with y_hat and mu.

Return type:

az.InferenceData