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Add mean centered phi flag for HSGP classes #1552

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wd60622 opened this issue Mar 10, 2025 · 0 comments · Fixed by #1560
Open

Add mean centered phi flag for HSGP classes #1552

wd60622 opened this issue Mar 10, 2025 · 0 comments · Fixed by #1560
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enhancement New feature or request TVPs Related to time varying parameters

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@wd60622
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wd60622 commented Mar 10, 2025

Provide flag for which centers the basis phi = phi - phi.mean(axis=0).eval()

phi, sqrt_psd = gp.prior_linearized(
self.X[:, None] - self.X_mid,
)

Would also be done for the each basis in Periodic class too?

(phi_cos, phi_sin), psd = gp.prior_linearized(
self.X[:, None] - self.X_mid,
)

Maybe the wise @bwengals can provide some guidance on this. The questions that I have are:

  • If doing this for the HSGP Periodic class, this would be done for both sin and cos bases, correct?
  • Is this just an alternative to the drop_first flag? (removing intercept-like basis). Does it provide some additional benefit / stability to the model?
@wd60622 wd60622 added TVPs Related to time varying parameters enhancement New feature or request and removed Needs Triage labels Mar 10, 2025
@wd60622 wd60622 changed the title Add mean centered phi flag for HSGP Add mean centered phi flag for HSGP classes Mar 10, 2025
@wd60622 wd60622 linked a pull request Mar 14, 2025 that will close this issue
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Labels
enhancement New feature or request TVPs Related to time varying parameters
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