pymc-extras 0.3.1__py3-none-any.whl → 0.4.0__py3-none-any.whl

pymc_extras/statespace/models/structural/core.py

@@ -0,0 +1,900 @@
+import functools as ft
+import logging
+
+from collections.abc import Sequence
+from itertools import pairwise
+from typing import Any
+
+import numpy as np
+import xarray as xr
+
+from pytensor import Mode, Variable, config
+from pytensor import tensor as pt
+
+from pymc_extras.statespace.core import PyMCStateSpace, PytensorRepresentation
+from pymc_extras.statespace.models.utilities import (
+    add_tensors_by_dim_labels,
+    conform_time_varying_and_time_invariant_matrices,
+    join_tensors_by_dim_labels,
+    make_default_coords,
+)
+from pymc_extras.statespace.utils.constants import (
+    ALL_STATE_AUX_DIM,
+    ALL_STATE_DIM,
+    LONG_MATRIX_NAMES,
+)
+
+_log = logging.getLogger(__name__)
+floatX = config.floatX
+
+
+class StructuralTimeSeries(PyMCStateSpace):
+    r"""
+    Structural Time Series Model
+
+    The structural time series model, named by [1] and presented in statespace form in [2], is a framework for
+    decomposing a univariate time series into level, trend, seasonal, and cycle components. It also admits the
+    possibility of exogenous regressors. Unlike the SARIMAX framework, the time series is not assumed to be stationary.
+
+    Parameters
+    ----------
+    ssm : PytensorRepresentation
+        The state space representation containing system matrices.
+    name : str
+        Name of the model. If None, defaults to "StructuralTimeSeries".
+    state_names : list[str]
+        Names of the hidden states in the model.
+    observed_state_names : list[str]
+        Names of the observed variables.
+    data_names : list[str]
+        Names of data variables expected by the model.
+    shock_names : list[str]
+        Names of innovation/shock processes.
+    param_names : list[str]
+        Names of model parameters.
+    exog_names : list[str]
+        Names of exogenous variables.
+    param_dims : dict[str, tuple[int]]
+        Dimension specifications for parameters.
+    coords : dict[str, Sequence]
+        Coordinate specifications for the model.
+    param_info : dict[str, dict[str, Any]]
+        Information about parameters including shapes and constraints.
+    data_info : dict[str, dict[str, Any]]
+        Information about data variables.
+    component_info : dict[str, dict[str, Any]]
+        Information about model components.
+    measurement_error : bool
+        Whether the model includes measurement error.
+    name_to_variable : dict[str, Variable]
+        Mapping from parameter names to PyTensor variables.
+    name_to_data : dict[str, Variable] | None, optional
+        Mapping from data names to PyTensor variables. Default is None.
+    verbose : bool, optional
+        Whether to print model information. Default is True.
+    filter_type : str, optional
+        Type of Kalman filter to use. Default is "standard".
+    mode : str | Mode | None, optional
+        PyTensor compilation mode. Default is None.
+
+    Notes
+    -----
+    The structural time series model decomposes a time series into interpretable components:
+
+    .. math::
+
+        y_t = \mu_t + \nu_t + \cdots + \gamma_t + c_t + \xi_t + \varepsilon_t
+
+    Where:
+        - :math:`\mu_t` is the level component
+        - :math:`\nu_t` is the slope/trend component
+        - :math:`\cdots` represents higher-order trend components
+        - :math:`\gamma_t` is the seasonal component
+        - :math:`c_t` is the cycle component
+        - :math:`\xi_t` is the autoregressive component
+        - :math:`\varepsilon_t` is the measurement error
+
+    The model is built by combining individual components (e.g., LevelTrendComponent,
+    TimeSeasonality, CycleComponent) using the addition operator. Each component
+    contributes to the overall state space representation.
+
+    Examples
+    --------
+    Create a model with trend and seasonal components:
+
+    .. code:: python
+
+        from pymc_extras.statespace import structural as st
+        import pymc as pm
+        import pytensor.tensor as pt
+
+        trend = st.LevelTrendComponent(order=2 innovations_order=1)
+        seasonal = st.TimeSeasonality(season_length=12, innovations=True)
+        error = st.MeasurementError()
+
+        ss_mod = (trend + seasonal + error).build()
+
+        with pm.Model(coords=ss_mod.coords) as model:
+            P0 = pm.Deterministic('P0', pt.eye(ss_mod.k_states) * 10, dims=ss_mod.param_dims['P0'])
+
+            initial_trend = pm.Normal('initial_trend', sigma=10, dims=ss_mod.param_dims['initial_trend'])
+            sigma_trend = pm.HalfNormal('sigma_trend', sigma=1, dims=ss_mod.param_dims['sigma_trend'])
+
+            seasonal_coefs = pm.Normal('seasonal_coefs', sigma=1, dims=ss_mod.param_dims['seasonal_coefs'])
+            sigma_seasonal = pm.HalfNormal('sigma_seasonal', sigma=1)
+
+            sigma_obs = pm.Exponential('sigma_obs', 1, dims=ss_mod.param_dims['sigma_obs'])
+
+            ss_mod.build_statespace_graph(data)
+            idata = pm.sample()
+
+    References
+    ----------
+    .. [1] Harvey, A. C. (1989). Forecasting, structural time series models and the
+           Kalman filter. Cambridge University Press.
+    .. [2] Durbin, J., & Koopman, S. J. (2012). Time series analysis by state space
+           methods (2nd ed.). Oxford University Press.
+    """
+
+    def __init__(
+        self,
+        ssm: PytensorRepresentation,
+        name: str,
+        state_names: list[str],
+        observed_state_names: list[str],
+        data_names: list[str],
+        shock_names: list[str],
+        param_names: list[str],
+        exog_names: list[str],
+        param_dims: dict[str, tuple[int]],
+        coords: dict[str, Sequence],
+        param_info: dict[str, dict[str, Any]],
+        data_info: dict[str, dict[str, Any]],
+        component_info: dict[str, dict[str, Any]],
+        measurement_error: bool,
+        name_to_variable: dict[str, Variable],
+        name_to_data: dict[str, Variable] | None = None,
+        verbose: bool = True,
+        filter_type: str = "standard",
+        mode: str | Mode | None = None,
+    ):
+        name = "StructuralTimeSeries" if name is None else name
+
+        self._name = name
+        self._observed_state_names = observed_state_names
+
+        k_states, k_posdef, k_endog = ssm.k_states, ssm.k_posdef, ssm.k_endog
+        param_names, param_dims, param_info = self._add_inital_state_cov_to_properties(
+            param_names, param_dims, param_info, k_states
+        )
+
+        self._state_names = self._strip_data_names_if_unambiguous(state_names, k_endog)
+        self._data_names = self._strip_data_names_if_unambiguous(data_names, k_endog)
+        self._shock_names = self._strip_data_names_if_unambiguous(shock_names, k_endog)
+        self._param_names = self._strip_data_names_if_unambiguous(param_names, k_endog)
+        self._param_dims = param_dims
+
+        default_coords = make_default_coords(self)
+        coords.update(default_coords)
+
+        self._coords = {
+            k: self._strip_data_names_if_unambiguous(v, k_endog) for k, v in coords.items()
+        }
+        self._param_info = param_info.copy()
+        self._data_info = data_info.copy()
+        self.measurement_error = measurement_error
+
+        super().__init__(
+            k_endog,
+            k_states,
+            max(1, k_posdef),
+            filter_type=filter_type,
+            verbose=verbose,
+            measurement_error=measurement_error,
+            mode=mode,
+        )
+        self.ssm = ssm.copy()
+
+        if k_posdef == 0:
+            # If there is no randomness in the model, add dummy matrices to the representation to avoid errors
+            # when we go to construct random variables from the matrices
+            self.ssm.k_posdef = self.k_posdef
+            self.ssm.shapes["state_cov"] = (1, 1, 1)
+            self.ssm["state_cov"] = pt.zeros((1, 1, 1))
+
+            self.ssm.shapes["selection"] = (1, self.k_states, 1)
+            self.ssm["selection"] = pt.zeros((1, self.k_states, 1))
+
+        self._component_info = component_info.copy()
+
+        self._name_to_variable = name_to_variable.copy()
+        self._name_to_data = name_to_data.copy()
+
+        self._exog_names = exog_names.copy()
+        self._needs_exog_data = len(exog_names) > 0
+
+        P0 = self.make_and_register_variable("P0", shape=(self.k_states, self.k_states))
+        self.ssm["initial_state_cov"] = P0
+
+    def _strip_data_names_if_unambiguous(self, names: list[str], k_endog: int):
+        """
+        State names from components should always be of the form name[data_name], in the case that the component is
+        associated with multiple observed states. Not doing so leads to ambiguity -- we might have two level states,
+        but which goes to which observed component? So we set `level[data_1]` and `level[data_2]`.
+
+        In cases where there is only one observed state (when k_endog == 1), we can strip the data part and just use
+        the state name. This is a bit cleaner.
+        """
+        if k_endog == 1:
+            [data_name] = self.observed_states
+            return [
+                name.replace(f"[{data_name}]", "") if isinstance(name, str) else name
+                for name in names
+            ]
+
+        else:
+            return names
+
+    @staticmethod
+    def _add_inital_state_cov_to_properties(param_names, param_dims, param_info, k_states):
+        param_names += ["P0"]
+        param_dims["P0"] = (ALL_STATE_DIM, ALL_STATE_AUX_DIM)
+        param_info["P0"] = {
+            "shape": (k_states, k_states),
+            "constraints": "Positive semi-definite",
+            "dims": param_dims["P0"],
+        }
+
+        return param_names, param_dims, param_info
+
+    @property
+    def param_names(self):
+        return self._param_names
+
+    @property
+    def data_names(self) -> list[str]:
+        return self._data_names
+
+    @property
+    def state_names(self):
+        return self._state_names
+
+    @property
+    def observed_states(self):
+        return self._observed_state_names
+
+    @property
+    def shock_names(self):
+        return self._shock_names
+
+    @property
+    def param_dims(self):
+        return self._param_dims
+
+    @property
+    def coords(self) -> dict[str, Sequence]:
+        return self._coords
+
+    @property
+    def param_info(self) -> dict[str, dict[str, Any]]:
+        return self._param_info
+
+    @property
+    def data_info(self) -> dict[str, dict[str, Any]]:
+        return self._data_info
+
+    def make_symbolic_graph(self) -> None:
+        """
+        Assign placeholder pytensor variables among statespace matrices in positions where PyMC variables will go.
+
+        Notes
+        -----
+        This assignment is handled by the components, so this function is implemented only to avoid the
+        NotImplementedError raised by the base class.
+        """
+
+        pass
+
+    def _state_slices_from_info(self):
+        info = self._component_info.copy()
+        comp_states = np.cumsum([0] + [info["k_states"] for info in info.values()])
+        state_slices = [slice(i, j) for i, j in pairwise(comp_states)]
+
+        return state_slices
+
+    def _hidden_states_from_data(self, data):
+        state_slices = self._state_slices_from_info()
+        info = self._component_info
+        names = info.keys()
+        result = []
+
+        for i, (name, s) in enumerate(zip(names, state_slices)):
+            obs_idx = info[name]["obs_state_idx"]
+            if obs_idx is None:
+                continue
+
+            X = data[..., s]
+            if info[name]["combine_hidden_states"]:
+                sum_idx = np.flatnonzero(obs_idx)
+                result.append(X[..., sum_idx].sum(axis=-1)[..., None])
+            else:
+                comp_names = self.state_names[s]
+                for j, state_name in enumerate(comp_names):
+                    result.append(X[..., j, None])
+
+        return np.concatenate(result, axis=-1)
+
+    def _get_subcomponent_names(self):
+        state_slices = self._state_slices_from_info()
+        info = self._component_info
+        names = info.keys()
+        result = []
+
+        for i, (name, s) in enumerate(zip(names, state_slices)):
+            if info[name]["combine_hidden_states"]:
+                result.append(name)
+            else:
+                comp_names = self.state_names[s]
+                result.extend([f"{name}[{comp_name}]" for comp_name in comp_names])
+        return result
+
+    def extract_components_from_idata(self, idata: xr.Dataset) -> xr.Dataset:
+        r"""
+        Extract interpretable hidden states from an InferenceData returned by a PyMCStateSpace sampling method
+
+        Parameters
+        ----------
+        idata: Dataset
+            A Dataset object, returned by a PyMCStateSpace sampling method
+
+        Returns
+        -------
+        idata: Dataset
+            An Dataset object with hidden states transformed to represent only the "interpretable" subcomponents
+            of the structural model.
+
+        Notes
+        -----
+        In general, a structural statespace model can be represented as:
+
+        .. math::
+            y_t = \mu_t + \nu_t + \cdots + \gamma_t + c_t + \xi_t + \epsilon_t \tag{1}
+
+        Where:
+
+            - :math:`\mu_t` is the level of the data at time t
+            - :math:`\nu_t` is the slope of the data at time t
+            - :math:`\cdots` are higher time derivatives of the position (acceleration, jerk, etc) at time t
+            - :math:`\gamma_t` is the seasonal component at time t
+            - :math:`c_t` is the cycle component at time t
+            - :math:`\xi_t` is the autoregressive error at time t
+            - :math:`\varepsilon_t` is the measurement error at time t
+
+        In state space form, some or all of these components are represented as linear combinations of other
+        subcomponents, making interpretation of the outputs of the outputs difficult. The purpose of this function is
+        to take the expended statespace representation and return a "reduced form" of only the components shown in
+        equation (1).
+        """
+
+        def _extract_and_transform_variable(idata, new_state_names):
+            *_, time_dim, state_dim = idata.dims
+            state_func = ft.partial(self._hidden_states_from_data)
+            new_idata = xr.apply_ufunc(
+                state_func,
+                idata,
+                input_core_dims=[[time_dim, state_dim]],
+                output_core_dims=[[time_dim, state_dim]],
+                exclude_dims={state_dim},
+            )
+            new_idata.coords.update({state_dim: new_state_names})
+            return new_idata
+
+        var_names = list(idata.data_vars.keys())
+        is_latent = [idata[name].shape[-1] == self.k_states for name in var_names]
+        new_state_names = self._get_subcomponent_names()
+
+        latent_names = [name for latent, name in zip(is_latent, var_names) if latent]
+        dropped_vars = set(var_names) - set(latent_names)
+        if len(dropped_vars) > 0:
+            _log.warning(
+                f"Variables {', '.join(dropped_vars)} do not contain all hidden states (their last dimension "
+                f"is not {self.k_states}). They will not be present in the modified idata."
+            )
+        if len(dropped_vars) == len(var_names):
+            raise ValueError(
+                "Provided idata had no variables with all hidden states; cannot extract components."
+            )
+
+        idata_new = xr.Dataset(
+            {
+                name: _extract_and_transform_variable(idata[name], new_state_names)
+                for name in latent_names
+            }
+        )
+        return idata_new
+
+
+class Component:
+    r"""
+    Base class for a component of a structural timeseries model.
+
+    This base class contains a subset of the class attributes of the PyMCStateSpace class, and none of the class
+    methods. The purpose of a component is to allow the partial definition of a structural model. Components are
+    assembled into a full model by the StructuralTimeSeries class.
+
+    Parameters
+    ----------
+    name : str
+        The name of the component.
+    k_endog : int
+        Number of endogenous (observed) variables being modeled.
+    k_states : int
+        Number of hidden states in the component model.
+    k_posdef : int
+        Rank of the state covariance matrix, or the number of sources of innovations
+        in the component model.
+    state_names : list[str] | None, optional
+        Names of the hidden states. If None, defaults to empty list.
+    observed_state_names : list[str] | None, optional
+        Names of the observed states associated with this component. Must have the same
+        length as k_endog. If None, defaults to empty list.
+    data_names : list[str] | None, optional
+        Names of data variables expected by the component. If None, defaults to empty list.
+    shock_names : list[str] | None, optional
+        Names of innovation/shock processes. If None, defaults to empty list.
+    param_names : list[str] | None, optional
+        Names of component parameters. If None, defaults to empty list.
+    exog_names : list[str] | None, optional
+        Names of exogenous variables. If None, defaults to empty list.
+    representation : PytensorRepresentation | None, optional
+        Pre-existing state space representation. If None, creates a new one.
+    measurement_error : bool, optional
+        Whether the component includes measurement error. Default is False.
+    combine_hidden_states : bool, optional
+        Whether to combine hidden states when extracting from data. Should be True for
+        components where individual states have no interpretation (e.g., seasonal,
+        autoregressive). Default is True.
+    component_from_sum : bool, optional
+        Whether this component is created from combining other components. Default is False.
+    obs_state_idxs : np.ndarray | None, optional
+        Indices indicating which states contribute to observed variables. If None,
+        defaults to None.
+
+    Examples
+    --------
+    Create a simple trend component:
+
+    .. code:: python
+
+        from pymc_extras.statespace import structural as st
+
+        trend = st.LevelTrendComponent(order=2, innovations_order=1)
+        seasonal = st.TimeSeasonality(season_length=12, innovations=True)
+        model = (trend + seasonal).build()
+
+        print(f"Model has {model.k_states} states and {model.k_posdef} innovations")
+
+    See Also
+    --------
+    StructuralTimeSeries : The complete model class that combines components.
+    LevelTrendComponent : Component for modeling level and trend.
+    TimeSeasonality : Component for seasonal effects.
+    CycleComponent : Component for cyclical effects.
+    RegressionComponent : Component for regression effects.
+    """
+
+    def __init__(
+        self,
+        name,
+        k_endog,
+        k_states,
+        k_posdef,
+        state_names=None,
+        observed_state_names=None,
+        data_names=None,
+        shock_names=None,
+        param_names=None,
+        exog_names=None,
+        representation: PytensorRepresentation | None = None,
+        measurement_error=False,
+        combine_hidden_states=True,
+        component_from_sum=False,
+        obs_state_idxs=None,
+    ):
+        self.name = name
+        self.k_endog = k_endog
+        self.k_states = k_states
+        self.k_posdef = k_posdef
+        self.measurement_error = measurement_error
+
+        self.state_names = list(state_names) if state_names is not None else []
+        self.observed_state_names = (
+            list(observed_state_names) if observed_state_names is not None else []
+        )
+        self.data_names = list(data_names) if data_names is not None else []
+        self.shock_names = list(shock_names) if shock_names is not None else []
+        self.param_names = list(param_names) if param_names is not None else []
+        self.exog_names = list(exog_names) if exog_names is not None else []
+
+        self.needs_exog_data = len(self.exog_names) > 0
+        self.coords = {}
+        self.param_dims = {}
+
+        self.param_info = {}
+        self.data_info = {}
+
+        self.param_counts = {}
+
+        if representation is None:
+            self.ssm = PytensorRepresentation(k_endog=k_endog, k_states=k_states, k_posdef=k_posdef)
+        else:
+            self.ssm = representation
+
+        self._name_to_variable = {}
+        self._name_to_data = {}
+
+        if not component_from_sum:
+            self.populate_component_properties()
+            self.make_symbolic_graph()
+
+        self._component_info = {
+            self.name: {
+                "k_states": self.k_states,
+                "k_enodg": self.k_endog,
+                "k_posdef": self.k_posdef,
+                "observed_state_names": self.observed_state_names,
+                "combine_hidden_states": combine_hidden_states,
+                "obs_state_idx": obs_state_idxs,
+            }
+        }
+
+    def make_and_register_variable(self, name, shape, dtype=floatX) -> Variable:
+        r"""
+        Helper function to create a pytensor symbolic variable and register it in the _name_to_variable dictionary
+
+        Parameters
+        ----------
+        name : str
+            The name of the placeholder variable. Must be the name of a model parameter.
+        shape : int or tuple of int
+            Shape of the parameter
+        dtype : str, default pytensor.config.floatX
+            dtype of the parameter
+
+        Notes
+        -----
+        Symbolic pytensor variables are used in the ``make_symbolic_graph`` method as placeholders for PyMC random
+        variables. The change is made in the ``_insert_random_variables`` method via ``pytensor.graph_replace``. To
+        make the change, a dictionary mapping pytensor variables to PyMC random variables needs to be constructed.
+
+        The purpose of this method is to:
+            1.  Create the placeholder symbolic variables
+            2.  Register the placeholder variable in the ``_name_to_variable`` dictionary
+
+        The shape provided here will define the shape of the prior that will need to be provided by the user.
+
+        An error is raised if the provided name has already been registered, or if the name is not present in the
+        ``param_names`` property.
+        """
+        if name not in self.param_names:
+            raise ValueError(
+                f"{name} is not a model parameter. All placeholder variables should correspond to model "
+                f"parameters."
+            )
+
+        if name in self._name_to_variable.keys():
+            raise ValueError(
+                f"{name} is already a registered placeholder variable with shape "
+                f"{self._name_to_variable[name].type.shape}"
+            )
+
+        placeholder = pt.tensor(name, shape=shape, dtype=dtype)
+        self._name_to_variable[name] = placeholder
+        return placeholder
+
+    def make_and_register_data(self, name, shape, dtype=floatX) -> Variable:
+        r"""
+        Helper function to create a pytensor symbolic variable and register it in the _name_to_data dictionary
+
+        Parameters
+        ----------
+        name : str
+            The name of the placeholder data. Must be the name of an expected data variable.
+        shape : int or tuple of int
+            Shape of the parameter
+        dtype : str, default pytensor.config.floatX
+            dtype of the parameter
+
+        Notes
+        -----
+        See docstring for make_and_register_variable for more details. This function is similar, but handles data
+        inputs instead of model parameters.
+
+        An error is raised if the provided name has already been registered, or if the name is not present in the
+        ``data_names`` property.
+        """
+        if name not in self.data_names:
+            raise ValueError(
+                f"{name} is not a model parameter. All placeholder variables should correspond to model "
+                f"parameters."
+            )
+
+        if name in self._name_to_data.keys():
+            raise ValueError(
+                f"{name} is already a registered placeholder variable with shape "
+                f"{self._name_to_data[name].type.shape}"
+            )
+
+        placeholder = pt.tensor(name, shape=shape, dtype=dtype)
+        self._name_to_data[name] = placeholder
+        return placeholder
+
+    def make_symbolic_graph(self) -> None:
+        raise NotImplementedError
+
+    def populate_component_properties(self):
+        raise NotImplementedError
+
+    def _get_combined_shapes(self, other):
+        k_states = self.k_states + other.k_states
+        k_posdef = self.k_posdef + other.k_posdef
+
+        # To count endog states, we have to count unique names between the two components.
+        combined_states = self._combine_property(
+            other, "observed_state_names", allow_duplicates=False
+        )
+        k_endog = len(combined_states)
+
+        return k_states, k_posdef, k_endog
+
+    def _combine_statespace_representations(self, other):
+        def make_slice(name, x, o_x):
+            ndim = max(x.ndim, o_x.ndim)
+            return (name,) + (slice(None, None, None),) * ndim
+
+        k_states, k_posdef, k_endog = self._get_combined_shapes(other)
+
+        self_matrices = [self.ssm[name] for name in LONG_MATRIX_NAMES]
+        other_matrices = [other.ssm[name] for name in LONG_MATRIX_NAMES]
+
+        self_observed_states = self.observed_state_names
+        other_observed_states = other.observed_state_names
+
+        x0, P0, c, d, T, Z, R, H, Q = (
+            self.ssm[make_slice(name, x, o_x)]
+            for name, x, o_x in zip(LONG_MATRIX_NAMES, self_matrices, other_matrices)
+        )
+        o_x0, o_P0, o_c, o_d, o_T, o_Z, o_R, o_H, o_Q = (
+            other.ssm[make_slice(name, x, o_x)]
+            for name, x, o_x in zip(LONG_MATRIX_NAMES, self_matrices, other_matrices)
+        )
+
+        initial_state = pt.concatenate(conform_time_varying_and_time_invariant_matrices(x0, o_x0))
+        initial_state.name = x0.name
+
+        initial_state_cov = pt.linalg.block_diag(P0, o_P0)
+        initial_state_cov.name = P0.name
+
+        state_intercept = pt.concatenate(conform_time_varying_and_time_invariant_matrices(c, o_c))
+        state_intercept.name = c.name
+
+        obs_intercept = add_tensors_by_dim_labels(
+            d, o_d, labels=self_observed_states, other_labels=other_observed_states, labeled_axis=-1
+        )
+        obs_intercept.name = d.name
+
+        transition = pt.linalg.block_diag(T, o_T)
+        transition = pt.specify_shape(
+            transition,
+            shape=[
+                sum(shapes) if not any([s is None for s in shapes]) else None
+                for shapes in zip(*[T.type.shape, o_T.type.shape])
+            ],
+        )
+        transition.name = T.name
+
+        design = join_tensors_by_dim_labels(
+            *conform_time_varying_and_time_invariant_matrices(Z, o_Z),
+            labels=self_observed_states,
+            other_labels=other_observed_states,
+            labeled_axis=-2,
+            join_axis=-1,
+        )
+        design.name = Z.name
+
+        selection = pt.linalg.block_diag(R, o_R)
+        selection = pt.specify_shape(
+            selection,
+            shape=[
+                sum(shapes) if not any([s is None for s in shapes]) else None
+                for shapes in zip(*[R.type.shape, o_R.type.shape])
+            ],
+        )
+        selection.name = R.name
+
+        obs_cov = add_tensors_by_dim_labels(
+            H,
+            o_H,
+            labels=self_observed_states,
+            other_labels=other_observed_states,
+            labeled_axis=(-1, -2),
+        )
+        obs_cov.name = H.name
+
+        state_cov = pt.linalg.block_diag(Q, o_Q)
+        state_cov.name = Q.name
+
+        new_ssm = PytensorRepresentation(
+            k_endog=k_endog,
+            k_states=k_states,
+            k_posdef=k_posdef,
+            initial_state=initial_state,
+            initial_state_cov=initial_state_cov,
+            state_intercept=state_intercept,
+            obs_intercept=obs_intercept,
+            transition=transition,
+            design=design,
+            selection=selection,
+            obs_cov=obs_cov,
+            state_cov=state_cov,
+        )
+
+        return new_ssm
+
+    def _combine_property(self, other, name, allow_duplicates=True):
+        self_prop = getattr(self, name)
+        other_prop = getattr(other, name)
+
+        if not isinstance(self_prop, type(other_prop)):
+            raise TypeError(
+                f"Property {name} of {self} and {other} are not the same and cannot be combined. Found "
+                f"{type(self_prop)} for {self} and {type(other_prop)} for {other}'"
+            )
+
+        if not isinstance(self_prop, list | dict):
+            raise TypeError(
+                f"All component properties are expected to be lists or dicts, but found {type(self_prop)}"
+                f"for property {name} of {self} and {type(other_prop)} for {other}'"
+            )
+
+        if isinstance(self_prop, list) and allow_duplicates:
+            return self_prop + other_prop
+        elif isinstance(self_prop, list) and not allow_duplicates:
+            return self_prop + [x for x in other_prop if x not in self_prop]
+        elif isinstance(self_prop, dict):
+            new_prop = self_prop.copy()
+            new_prop.update(other_prop)
+            return new_prop
+
+    def _combine_component_info(self, other):
+        combined_info = {}
+        for key, value in self._component_info.items():
+            if not key.startswith("StateSpace"):
+                if key in combined_info.keys():
+                    raise ValueError(f"Found duplicate component named {key}")
+                combined_info[key] = value
+
+        for key, value in other._component_info.items():
+            if not key.startswith("StateSpace"):
+                if key in combined_info.keys():
+                    raise ValueError(f"Found duplicate component named {key}")
+                combined_info[key] = value
+
+        return combined_info
+
+    def _make_combined_name(self):
+        components = self._component_info.keys()
+        name = f"StateSpace[{', '.join(components)}]"
+        return name
+
+    def __add__(self, other):
+        state_names = self._combine_property(other, "state_names")
+        data_names = self._combine_property(other, "data_names")
+        observed_state_names = self._combine_property(
+            other, "observed_state_names", allow_duplicates=False
+        )
+
+        param_names = self._combine_property(other, "param_names")
+        shock_names = self._combine_property(other, "shock_names")
+        param_info = self._combine_property(other, "param_info")
+        data_info = self._combine_property(other, "data_info")
+        param_dims = self._combine_property(other, "param_dims")
+        coords = self._combine_property(other, "coords")
+        exog_names = self._combine_property(other, "exog_names")
+
+        _name_to_variable = self._combine_property(other, "_name_to_variable")
+        _name_to_data = self._combine_property(other, "_name_to_data")
+
+        measurement_error = any([self.measurement_error, other.measurement_error])
+
+        k_states, k_posdef, k_endog = self._get_combined_shapes(other)
+
+        ssm = self._combine_statespace_representations(other)
+
+        new_comp = Component(
+            name="",
+            k_endog=k_endog,
+            k_states=k_states,
+            k_posdef=k_posdef,
+            observed_state_names=observed_state_names,
+            measurement_error=measurement_error,
+            representation=ssm,
+            component_from_sum=True,
+        )
+        new_comp._component_info = self._combine_component_info(other)
+        new_comp.name = new_comp._make_combined_name()
+
+        names_and_props = [
+            ("state_names", state_names),
+            ("observed_state_names", observed_state_names),
+            ("data_names", data_names),
+            ("param_names", param_names),
+            ("shock_names", shock_names),
+            ("param_dims", param_dims),
+            ("coords", coords),
+            ("param_dims", param_dims),
+            ("param_info", param_info),
+            ("data_info", data_info),
+            ("exog_names", exog_names),
+            ("_name_to_variable", _name_to_variable),
+            ("_name_to_data", _name_to_data),
+        ]
+
+        for prop, value in names_and_props:
+            setattr(new_comp, prop, value)
+
+        return new_comp
+
+    def build(
+        self, name=None, filter_type="standard", verbose=True, mode: str | Mode | None = None
+    ):
+        """
+        Build a StructuralTimeSeries statespace model from the current component(s)
+
+        Parameters
+        ----------
+        name: str, optional
+            Name of the exogenous data being modeled. Default is "data"
+
+        filter_type : str, optional
+            The type of Kalman filter to use. Valid options are "standard", "univariate", "single", "cholesky", and
+            "steady_state". For more information, see the docs for each filter. Default is "standard".
+
+        verbose : bool, optional
+            If True, displays information about the initialized model. Defaults to True.
+
+        mode: str or Mode, optional
+            Pytensor compile mode, used in auxiliary sampling methods such as ``sample_conditional_posterior`` and
+            ``forecast``. The mode does **not** effect calls to ``pm.sample``.
+
+            Regardless of whether a mode is specified, it can always be overwritten via the ``compile_kwargs`` argument
+            to all sampling methods.
+
+        Returns
+        -------
+        PyMCStateSpace
+            An initialized instance of a PyMCStateSpace, constructed using the system matrices contained in the
+            components.
+        """
+
+        return StructuralTimeSeries(
+            self.ssm,
+            name=name,
+            state_names=self.state_names,
+            observed_state_names=self.observed_state_names,
+            data_names=self.data_names,
+            shock_names=self.shock_names,
+            param_names=self.param_names,
+            param_dims=self.param_dims,
+            coords=self.coords,
+            param_info=self.param_info,
+            data_info=self.data_info,
+            component_info=self._component_info,
+            measurement_error=self.measurement_error,
+            exog_names=self.exog_names,
+            name_to_variable=self._name_to_variable,
+            name_to_data=self._name_to_data,
+            filter_type=filter_type,
+            verbose=verbose,
+            mode=mode,
+        )