{"action":"created","issue":{"url":"https://api.github.com/repos/paul-buerkner/brms/issues/69","repository_url":"https://api.github.com/repos/paul-buerkner/brms","labels_url":"https://api.github.com/repos/paul-buerkner/brms/issues/69/labels{/name}","comments_url":"https://api.github.com/repos/paul-buerkner/brms/issues/69/comments","events_url":"https://api.github.com/repos/paul-buerkner/brms/issues/69/events","html_url":"https://github.com/paul-buerkner/brms/issues/69","id":150498840,"number":69,"title":"Structural Time Series using brms?","user":{"login":"alireza202","id":6646274,"avatar_url":"https://avatars.githubusercontent.com/u/6646274?v=3","gravatar_id":"","url":"https://api.github.com/users/alireza202","html_url":"https://github.com/alireza202","followers_url":"https://api.github.com/users/alireza202/followers","following_url":"https://api.github.com/users/alireza202/following{/other_user}","gists_url":"https://api.github.com/users/alireza202/gists{/gist_id}","starred_url":"https://api.github.com/users/alireza202/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/alireza202/subscriptions","organizations_url":"https://api.github.com/users/alireza202/orgs","repos_url":"https://api.github.com/users/alireza202/repos","events_url":"https://api.github.com/users/alireza202/events{/privacy}","received_events_url":"https://api.github.com/users/alireza202/received_events","type":"User","site_admin":false},"labels":[{"url":"https://api.github.com/repos/paul-buerkner/brms/labels/feature","name":"feature","color":"207de5"}],"state":"open","locked":false,"assignee":null,"milestone":null,"comments":4,"created_at":"2016-04-23T00:13:05Z","updated_at":"2016-06-14T19:18:51Z","closed_at":null,"body":"I was reading this, and I wondered if it is possible to do a similar thing using brms:\r\n\r\nhttp://multithreaded.stitchfix.com/blog/2016/04/21/forget-arima/\r\n\r\nI know we can do ARMA models with brms, but this formulation is rather different."},"comment":{"url":"https://api.github.com/repos/paul-buerkner/brms/issues/comments/225987660","html_url":"https://github.com/paul-buerkner/brms/issues/69#issuecomment-225987660","issue_url":"https://api.github.com/repos/paul-buerkner/brms/issues/69","id":225987660,"user":{"login":"alireza202","id":6646274,"avatar_url":"https://avatars.githubusercontent.com/u/6646274?v=3","gravatar_id":"","url":"https://api.github.com/users/alireza202","html_url":"https://github.com/alireza202","followers_url":"https://api.github.com/users/alireza202/followers","following_url":"https://api.github.com/users/alireza202/following{/other_user}","gists_url":"https://api.github.com/users/alireza202/gists{/gist_id}","starred_url":"https://api.github.com/users/alireza202/starred{/owner}{/repo}","subscriptions_url":"https://api.github.com/users/alireza202/subscriptions","organizations_url":"https://api.github.com/users/alireza202/orgs","repos_url":"https://api.github.com/users/alireza202/repos","events_url":"https://api.github.com/users/alireza202/events{/privacy}","received_events_url":"https://api.github.com/users/alireza202/received_events","type":"User","site_admin":false},"created_at":"2016-06-14T19:18:51Z","updated_at":"2016-06-14T19:18:51Z","body":"I'm having difficulties getting this model converged with `cor_bsts`:\r\n```\r\nfixed_prior = c(set_prior('normal(0, 5)', class = 'b'),\r\n                set_prior('student_t(3, 0, 10)', class = 'sigmaLL'))\r\n\r\nbrm(formula = y ~ p + (p | item), \r\n    data = training,\r\n    family = negbinomial(),\r\n    chains = 4,\r\n    cluster = 4,\r\n    prior = fixed_prior, \r\n    autocor = cor_bsts(~ t | item),\r\n    iter = 2000, \r\n    warmup = 500) -> model\r\n```\r\nI get:\r\n```\r\nCorrelation Structure: bsts(~t | item)\r\n        Estimate Est.Error l-95% CI u-95% CI Eff.Sample Rhat\r\nsigmaLL     0.15      0.03     0.09     0.22         26 1.14\r\n```\r\nI tried tightening the prior by `set_prior('student_t(3, 0, 1)', class = 'sigmaLL')`, but it still didn't converge.\r\n\r\nHere's the mixing plot:\r\n\r\n<img width=\"479\" alt=\"screen shot 2016-06-14 at 12 17 07 pm\" src=\"https://cloud.githubusercontent.com/assets/6646274/16056382/2227304c-322a-11e6-82d6-40f4fe7348db.png\">\r\n"}}
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