"Fossies" - the Fresh Open Source Software Archive  

Source code changes of the file "R/inst/stan/prophet.stan" between
prophet-1.0.tar.gz and prophet-1.1.tar.gz

About: Prophet is a tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.

prophet.stan  (prophet-1.0):prophet.stan  (prophet-1.1)
skipping to change at line 101 skipping to change at line 101
vector[S] t_change; // Times of trend changepoints vector[S] t_change; // Times of trend changepoints
matrix[T,K] X; // Regressors matrix[T,K] X; // Regressors
vector[K] sigmas; // Scale on seasonality prior vector[K] sigmas; // Scale on seasonality prior
real<lower=0> tau; // Scale on changepoints prior real<lower=0> tau; // Scale on changepoints prior
int trend_indicator; // 0 for linear, 1 for logistic, 2 for flat int trend_indicator; // 0 for linear, 1 for logistic, 2 for flat
vector[K] s_a; // Indicator of additive features vector[K] s_a; // Indicator of additive features
vector[K] s_m; // Indicator of multiplicative features vector[K] s_m; // Indicator of multiplicative features
} }
transformed data { transformed data {
matrix[T, S] A; matrix[T, S] A = get_changepoint_matrix(t, t_change, T, S);
A = get_changepoint_matrix(t, t_change, T, S); matrix[T, K] X_sa = X .* rep_matrix(s_a', T);
matrix[T, K] X_sm = X .* rep_matrix(s_m', T);
} }
parameters { parameters {
real k; // Base trend growth rate real k; // Base trend growth rate
real m; // Trend offset real m; // Trend offset
vector[S] delta; // Trend rate adjustments vector[S] delta; // Trend rate adjustments
real<lower=0> sigma_obs; // Observation noise real<lower=0> sigma_obs; // Observation noise
vector[K] beta; // Regressor coefficients vector[K] beta; // Regressor coefficients
} }
skipping to change at line 133 skipping to change at line 134
model { model {
//priors //priors
k ~ normal(0, 5); k ~ normal(0, 5);
m ~ normal(0, 5); m ~ normal(0, 5);
delta ~ double_exponential(0, tau); delta ~ double_exponential(0, tau);
sigma_obs ~ normal(0, 0.5); sigma_obs ~ normal(0, 0.5);
beta ~ normal(0, sigmas); beta ~ normal(0, sigmas);
// Likelihood // Likelihood
y ~ normal( y ~ normal_id_glm(
trend X_sa,
.* (1 + X * (beta .* s_m)) trend .* (1 + X_sm * beta),
+ X * (beta .* s_a), beta,
sigma_obs sigma_obs
); );
} }
 End of changes. 2 change blocks. 
8 lines changed or deleted 9 lines changed or added

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