What's the best way to fit a statespace model to multiple time series

Дата публикации: 11-09-2026 04:21:57

There might be an even cheaper way to write down your specific case, because it seems like you actually have multiple VARs that share A but not B? I don’t fully understand but if you have a more concrete example there might be even more speed to wring out of the system. The way I wrote it here is that everything relates to everything. If in essence \bar{A} is also block diagonal, then some of the terms in R^T R also simplify, but a lot of this pytensor should automatically handle for you. Still, it’s nice to know.

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