Closed
Description
We can add support for Scan
Op
s so that joint_logprob
would cover nearly arbitrary timeseries.
A lot of the relevant Scan
rewrite code was written for symbolic-pymc
in pymc-devs/symbolic-pymc#113 and pymc-devs/symbolic-pymc#114, so we can take some of the code/ideas from there and adapt it to aeppl
.
See the Gitter conversation about this idea here. (NB: If you use https://develop.element.io/ you can also turn on LaTeX rendering in the "Labs" settings.)
Also, see these tests for explicit examples of log-likelihood generation for a simple DLM and HMM in symbolic-pymc
.