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Update Stochastic Volatility notebook to PyMC v5 #517

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Merged
merged 8 commits into from
Feb 2, 2023

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BerylKanali
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@BerylKanali BerylKanali commented Feb 2, 2023

Towards #394, closes #60

@reshamas @OriolAbril
Updated this notebook(and watermark cell) with PyMC v5.

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@BerylKanali BerylKanali marked this pull request as draft February 2, 2023 13:18
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OriolAbril commented on 2023-02-02T14:47:48Z
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Line #4.            volatility = pm.GaussianRandomWalk("volatility", sigma=step_size, dims="time")

We should add an init_dist=pm.Normal.dist(0, 100) here in the GaussianRandomWalk call


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OriolAbril commented on 2023-02-02T14:47:50Z
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These warnings are a bug but it has been fixed already in main, so we can ignore them, they won't be here in the next version


@OriolAbril OriolAbril marked this pull request as ready for review February 2, 2023 18:17
@OriolAbril OriolAbril merged commit 6675a73 into pymc-devs:main Feb 2, 2023
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stochastic volatility
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