Allow exogenous regressions in BayesianSARIMAX
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Pull Request Overview
This PR renames BayesianSARIMA to BayesianSARIMAX and adds support for exogenous regressors in the model. The X suffix follows the standard convention for models with exogenous variables.
Key changes:
- Renamed the class from
BayesianSARIMAtoBayesianSARIMAX - Added support for exogenous regressors via new parameters
k_exogandexog_state_names - Implemented exogenous data handling through observation intercept modifications
Reviewed Changes
Copilot reviewed 8 out of 9 changed files in this pull request and generated 3 comments.
Show a summary per file
| File | Description |
|---|---|
pymc_extras/statespace/models/SARIMAX.py |
Main model class renamed and exogenous regression functionality added |
tests/statespace/models/test_SARIMAX.py |
Updated tests to use new class name and added exogenous regression test |
pymc_extras/statespace/core/statespace.py |
Updated data handling for exogenous variables |
pymc_extras/statespace/models/__init__.py |
Updated imports and exports for renamed class |
pymc_extras/statespace/__init__.py |
Updated public API exports |
| Various other files | Updated references and documentation |
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Dekermanjian
approved these changes
Aug 23, 2025
BayiesnaSARIMAXBayesianSARIMAX
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Exogenous regressors are added via a time-varying observation bias to keep the statespace as small as possible.
We could consider allowing something fancier, but this is a good v0.