Structural time series grammar over variable blocks

09/15/2020

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by   David Rushing Dewhurst, et al.

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A structural time series model additively decomposes into generative, semantically-meaningful components, each of which depends on a vector of parameters. We demonstrate that considering each generative component together with its vector of parameters as a single latent structural time series node can simplify reasoning about collections of structural time series components. We then introduce a formal grammar over structural time series nodes and parameter vectors. Valid sentences in the grammar can be interpreted as generative structural time series models. An extension of the grammar can also express structural time series models that include changepoints, though these models are necessarily not generative. We demonstrate a preliminary implementation of the language generated by this grammar. We close with a discussion of possible future work.