2020/06/07
Rediscovering Bayesian Structural Time Series
This article derives the Local-Linear Trend specification of the Bayesian Structural Time Series model family from scratch, implements it in Stan and visualizes its components via tidybayes. To provide context, links to GAMs and the prophet package are highlighted. The code is available here. I tried to come up with a simple way to detect “outliers” in time series. Nothing special, no anomaly detection via variational auto-encoders, just finding values of low probability in a univariate time series.