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ARMA spectral density #759

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seabbs opened this issue Aug 29, 2024 · 1 comment
Open

ARMA spectral density #759

seabbs opened this issue Aug 29, 2024 · 1 comment
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enhancement New feature or request

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@seabbs
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seabbs commented Aug 29, 2024

As suggested by @SamuelBrand1 ARMA models have a spectral density (https://en.wikipedia.org/wiki/Autoregressive_moving-average_model) this means we should be able to implement approximate AMRA models within our GP framework.

This builds off discussions in #757.

@seabbs seabbs added the enhancement New feature or request label Aug 29, 2024
@SamuelBrand1
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SamuelBrand1 commented Aug 29, 2024

Might need a bit of thought about whether there are any considerations around using a discrete time process. Although I think the GPs in general being used in a discrete sense here, the forward epi process might depend on the GP $f$ only at a discrete set of points: e.g. $\log R_{t_i}$ $= f_i = f(t_i)$ for $i=1,...$ so it might not be a big deal.

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