pymc-extras 0.3.1__py3-none-any.whl → 0.4.1__py3-none-any.whl

pymc_extras/statespace/models/structural.py

@@ -1,1679 +0,0 @@
-import functools as ft
-import logging
-
-from abc import ABC
-from collections.abc import Sequence
-from itertools import pairwise
-from typing import Any
-
-import numpy as np
-import pytensor
-import pytensor.tensor as pt
-import xarray as xr
-
-from pytensor import Variable
-from pytensor.compile.mode import Mode
-
-from pymc_extras.statespace.core import PytensorRepresentation
-from pymc_extras.statespace.core.statespace import PyMCStateSpace
-from pymc_extras.statespace.models.utilities import (
-    conform_time_varying_and_time_invariant_matrices,
-    make_default_coords,
-)
-from pymc_extras.statespace.utils.constants import (
-    ALL_STATE_AUX_DIM,
-    ALL_STATE_DIM,
-    AR_PARAM_DIM,
-    LONG_MATRIX_NAMES,
-    POSITION_DERIVATIVE_NAMES,
-    TIME_DIM,
-)
-
-_log = logging.getLogger("pymc.experimental.statespace")
-
-floatX = pytensor.config.floatX
-
-
-def order_to_mask(order):
-    if isinstance(order, int):
-        return np.ones(order).astype(bool)
-    else:
-        return np.array(order).astype(bool)
-
-
-def _frequency_transition_block(s, j):
-    lam = 2 * np.pi * j / s
-
-    return pt.stack([[pt.cos(lam), pt.sin(lam)], [-pt.sin(lam), pt.cos(lam)]])
-
-
-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.
-
-    Notes
-    -----
-
-    .. math::
-         y_t = \mu_t + \gamma_t + c_t + \varepsilon_t
-
-    """
-
-    def __init__(
-        self,
-        ssm: PytensorRepresentation,
-        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,
-        name: str | None = None,
-        verbose: bool = True,
-        filter_type: str = "standard",
-        mode: str | Mode | None = None,
-    ):
-        # Add the initial state covariance to the parameters
-        if name is None:
-            name = "data"
-        self._name = name
-
-        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 = state_names.copy()
-        self._data_names = data_names.copy()
-        self._shock_names = shock_names.copy()
-        self._param_names = param_names.copy()
-        self._param_dims = param_dims.copy()
-
-        default_coords = make_default_coords(self)
-        coords.update(default_coords)
-
-        self._coords = coords
-        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
-
-    @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._name]
-
-    @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(ABC):
-    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 variables being modeled. Currently, must be one because structural models only support
-        univariate data.
-    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
-    measurement_error: bool
-        Whether the observation associated with the component has measurement error. Default is False.
-    combine_hidden_states: bool
-        Flag for the ``extract_hidden_states_from_data`` method. When ``True``, hidden states from the component model
-        are extracted as ``hidden_states[:, np.flatnonzero(Z)]``. Should be True in models where hidden states
-        individually have no interpretation, such as seasonal or autoregressive components.
-    """
-
-    def __init__(
-        self,
-        name,
-        k_endog,
-        k_states,
-        k_posdef,
-        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 = state_names if state_names is not None else []
-        self.data_names = data_names if data_names is not None else []
-        self.shock_names = shock_names if shock_names is not None else []
-        self.param_names = param_names if param_names is not None else []
-        self.exog_names = 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,
-                "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
-        if self.k_endog != other.k_endog:
-            raise NotImplementedError(
-                "Merging elements with different numbers of observed states is not supported.>"
-            )
-        k_endog = self.k_endog
-
-        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]
-
-        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 = d + o_d
-        obs_intercept.name = d.name
-
-        transition = pt.linalg.block_diag(T, o_T)
-        transition.name = T.name
-
-        design = pt.concatenate(conform_time_varying_and_time_invariant_matrices(Z, o_Z), axis=-1)
-        design.name = Z.name
-
-        selection = pt.linalg.block_diag(R, o_R)
-        selection.name = R.name
-
-        obs_cov = H + o_H
-        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):
-        self_prop = getattr(self, name)
-        if isinstance(self_prop, list):
-            return self_prop + getattr(other, name)
-        elif isinstance(self_prop, dict):
-            new_prop = self_prop.copy()
-            new_prop.update(getattr(other, name))
-            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")
-        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=1,
-            k_states=k_states,
-            k_posdef=k_posdef,
-            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),
-            ("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,
-            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,
-        )
-
-
-class LevelTrendComponent(Component):
-    r"""
-    Level and trend component of a structural time series model
-
-    Parameters
-    ----------
-    __________
-    order : int
-
-        Number of time derivatives of the trend to include in the model. For example, when order=3, the trend will
-        be of the form ``y = a + b * t + c * t ** 2``, where the coefficients ``a, b, c`` come from the initial
-        state values.
-
-    innovations_order : int or sequence of int, optional
-
-        The number of stochastic innovations to include in the model. By default, ``innovations_order = order``
-
-    Notes
-    -----
-    This class implements the level and trend components of the general structural time series model. In the most
-    general form, the level and trend is described by a system of two time-varying equations.
-
-    .. math::
-        \begin{align}
-            \mu_{t+1} &= \mu_t + \nu_t + \zeta_t \\
-            \nu_{t+1} &= \nu_t + \xi_t
-            \zeta_t &\sim N(0, \sigma_\zeta) \\
-            \xi_t &\sim N(0, \sigma_\xi)
-        \end{align}
-
-    Where :math:`\mu_{t+1}` is the mean of the timeseries at time t, and :math:`\nu_t` is the drift or the slope of
-    the process. When both innovations :math:`\zeta_t` and :math:`\xi_t` are included in the model, it is known as a
-    *local linear trend* model. This system of two equations, corresponding to ``order=2``, can be expanded or
-    contracted by adding or removing equations. ``order=3`` would add an acceleration term to the sytsem:
-
-    .. math::
-        \begin{align}
-            \mu_{t+1} &= \mu_t + \nu_t + \zeta_t \\
-            \nu_{t+1} &= \nu_t + \eta_t + \xi_t \\
-            \eta_{t+1} &= \eta_{t-1} + \omega_t \\
-            \zeta_t &\sim N(0, \sigma_\zeta) \\
-            \xi_t &\sim N(0, \sigma_\xi) \\
-            \omega_t &\sim N(0, \sigma_\omega)
-        \end{align}
-
-    After setting all innovation terms to zero and defining initial states :math:`\mu_0, \nu_0, \eta_0`, these equations
-    can be collapsed to:
-
-    .. math::
-        \mu_t = \mu_0 + \nu_0 \cdot t + \eta_0 \cdot t^2
-
-    Which clarifies how the order and initial states influence the model. In particular, the initial states are the
-    coefficients on the intercept, slope, acceleration, and so on.
-
-    In this light, allowing for innovations can be understood as allowing these coefficients to vary over time. Each
-    component can be individually selected for time variation by passing a list to the ``innovations_order`` argument.
-    For example, a constant intercept with time varying trend and acceleration is specified as ``order=3,
-    innovations_order=[0, 1, 1]``.
-
-    By choosing the ``order`` and ``innovations_order``, a large variety of models can be obtained. Notable
-    models include:
-
-    * Constant intercept, ``order=1, innovations_order=0``
-
-    .. math::
-        \mu_t = \mu
-
-    * Constant linear slope, ``order=2, innovations_order=0``
-
-    .. math::
-        \mu_t = \mu_{t-1} + \nu
-
-    * Gaussian Random Walk, ``order=1, innovations_order=1``
-
-    .. math::
-        \mu_t = \mu_{t-1} + \zeta_t
-
-    * Gaussian Random Walk with Drift, ``order=2, innovations_order=1``
-
-    .. math::
-        \mu_t = \mu_{t-1} + \nu + \zeta_t
-
-    * Smooth Trend, ``order=2, innovations_order=[0, 1]``
-
-    .. math::
-        \begin{align}
-            \mu_t &= \mu_{t-1} + \nu_{t-1} \\
-            \nu_t &= \nu_{t-1} + \xi_t
-        \end{align}
-
-    * Local Level, ``order=2, innovations_order=2``
-
-    [1] notes that the smooth trend model produces more gradually changing slopes than the full local linear trend
-    model, and is equivalent to an "integrated trend model".
-
-    References
-    ----------
-    .. [1] Durbin, James, and Siem Jan Koopman. 2012.
-        Time Series Analysis by State Space Methods: Second Edition.
-        Oxford University Press.
-
-    """
-
-    def __init__(
-        self,
-        order: int | list[int] = 2,
-        innovations_order: int | list[int] | None = None,
-        name: str = "LevelTrend",
-    ):
-        if innovations_order is None:
-            innovations_order = order
-
-        self._order_mask = order_to_mask(order)
-        max_state = np.flatnonzero(self._order_mask)[-1].item() + 1
-
-        # If the user passes excess zeros, raise an error. The alternative is to prune them, but this would cause
-        # the shape of the state to be different to what the user expects.
-        if len(self._order_mask) > max_state:
-            raise ValueError(
-                f"order={order} is invalid. The highest derivative should not be set to zero. If you want a "
-                f"lower order model, explicitly omit the zeros."
-            )
-        k_states = max_state
-
-        if isinstance(innovations_order, int):
-            n = innovations_order
-            innovations_order = order_to_mask(k_states)
-            if n > 0:
-                innovations_order[n:] = False
-            else:
-                innovations_order[:] = False
-        else:
-            innovations_order = order_to_mask(innovations_order)
-
-        self.innovations_order = innovations_order[:max_state]
-        k_posdef = int(sum(innovations_order))
-
-        super().__init__(
-            name,
-            k_endog=1,
-            k_states=k_states,
-            k_posdef=k_posdef,
-            measurement_error=False,
-            combine_hidden_states=False,
-            obs_state_idxs=np.array([1.0] + [0.0] * (k_states - 1)),
-        )
-
-    def populate_component_properties(self):
-        name_slice = POSITION_DERIVATIVE_NAMES[: self.k_states]
-        self.param_names = ["initial_trend"]
-        self.state_names = [name for name, mask in zip(name_slice, self._order_mask) if mask]
-        self.param_dims = {"initial_trend": ("trend_state",)}
-        self.coords = {"trend_state": self.state_names}
-        self.param_info = {"initial_trend": {"shape": (self.k_states,), "constraints": None}}
-
-        if self.k_posdef > 0:
-            self.param_names += ["sigma_trend"]
-            self.shock_names = [
-                name for name, mask in zip(name_slice, self.innovations_order) if mask
-            ]
-            self.param_dims["sigma_trend"] = ("trend_shock",)
-            self.coords["trend_shock"] = self.shock_names
-            self.param_info["sigma_trend"] = {"shape": (self.k_posdef,), "constraints": "Positive"}
-
-        for name in self.param_names:
-            self.param_info[name]["dims"] = self.param_dims[name]
-
-    def make_symbolic_graph(self) -> None:
-        initial_trend = self.make_and_register_variable("initial_trend", shape=(self.k_states,))
-        self.ssm["initial_state", :] = initial_trend
-        triu_idx = np.triu_indices(self.k_states)
-        self.ssm[np.s_["transition", triu_idx[0], triu_idx[1]]] = 1
-
-        R = np.eye(self.k_states)
-        R = R[:, self.innovations_order]
-        self.ssm["selection", :, :] = R
-
-        self.ssm["design", 0, :] = np.array([1.0] + [0.0] * (self.k_states - 1))
-
-        if self.k_posdef > 0:
-            sigma_trend = self.make_and_register_variable("sigma_trend", shape=(self.k_posdef,))
-            diag_idx = np.diag_indices(self.k_posdef)
-            idx = np.s_["state_cov", diag_idx[0], diag_idx[1]]
-            self.ssm[idx] = sigma_trend**2
-
-
-class MeasurementError(Component):
-    r"""
-    Measurement error term for a structural timeseries model
-
-    Parameters
-    ----------
-    name: str, optional
-
-        Name of the observed data. Default is "obs".
-
-    Notes
-    -----
-    This component should only be used in combination with other components, because it has no states. It's only use
-    is to add a variance parameter to the model, associated with the observation noise matrix H.
-
-    Examples
-    --------
-    Create and estimate a deterministic linear trend with measurement error
-
-    .. 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=0)
-        error = st.MeasurementError()
-        ss_mod = (trend + 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'])
-            intitial_trend = pm.Normal('initial_trend', sigma=10, dims=ss_mod.param_dims['initial_trend'])
-            sigma_obs = pm.Exponential('sigma_obs', 1, dims=ss_mod.param_dims['sigma_obs'])
-
-            ss_mod.build_statespace_graph(data)
-            idata = pm.sample(nuts_sampler='numpyro')
-    """
-
-    def __init__(self, name: str = "MeasurementError"):
-        k_endog = 1
-        k_states = 0
-        k_posdef = 0
-
-        super().__init__(
-            name, k_endog, k_states, k_posdef, measurement_error=True, combine_hidden_states=False
-        )
-
-    def populate_component_properties(self):
-        self.param_names = [f"sigma_{self.name}"]
-        self.param_dims = {}
-        self.param_info = {
-            f"sigma_{self.name}": {
-                "shape": (),
-                "constraints": "Positive",
-                "dims": None,
-            }
-        }
-
-    def make_symbolic_graph(self) -> None:
-        sigma_shape = ()
-        error_sigma = self.make_and_register_variable(f"sigma_{self.name}", shape=sigma_shape)
-        diag_idx = np.diag_indices(self.k_endog)
-        idx = np.s_["obs_cov", diag_idx[0], diag_idx[1]]
-        self.ssm[idx] = error_sigma**2
-
-
-class AutoregressiveComponent(Component):
-    r"""
-    Autoregressive timeseries component
-
-    Parameters
-    ----------
-    order: int or sequence of int
-
-        If int, the number of lags to include in the model.
-        If a sequence, an array-like of zeros and ones indicating which lags to include in the model.
-
-    Notes
-    -----
-    An autoregressive component can be thought of as a way o introducing serially correlated errors into the model.
-    The process is modeled:
-
-    .. math::
-        x_t = \sum_{i=1}^p \rho_i x_{t-i}
-
-    Where ``p``, the number of autoregressive terms to model, is the order of the process. By default, all lags up to
-    ``p`` are included in the model. To disable lags, pass a list of zeros and ones to the ``order`` argumnet. For
-    example, ``order=[1, 1, 0, 1]`` would become:
-
-    .. math::
-        x_t = \rho_1 x_{t-1} + \rho_2 x_{t-1} + \rho_4 x_{t-1}
-
-    The coefficient :math:`\rho_3` has been constrained to zero.
-
-    .. warning:: This class is meant to be used as a component in a structural time series model. For modeling of
-              stationary processes with ARIMA, use ``statespace.BayesianSARIMA``.
-
-    Examples
-    --------
-    Model a timeseries as an AR(2) process with non-zero mean:
-
-    .. code:: python
-
-        from pymc_extras.statespace import structural as st
-        import pymc as pm
-        import pytensor.tensor as pt
-
-        trend = st.LevelTrendComponent(order=1, innovations_order=0)
-        ar = st.AutoregressiveComponent(2)
-        ss_mod = (trend + ar).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'])
-            intitial_trend = pm.Normal('initial_trend', sigma=10, dims=ss_mod.param_dims['initial_trend'])
-            ar_params = pm.Normal('ar_params', dims=ss_mod.param_dims['ar_params'])
-            sigma_ar = pm.Exponential('sigma_ar', 1, dims=ss_mod.param_dims['sigma_ar'])
-
-            ss_mod.build_statespace_graph(data)
-            idata = pm.sample(nuts_sampler='numpyro')
-
-    """
-
-    def __init__(self, order: int = 1, name: str = "AutoRegressive"):
-        order = order_to_mask(order)
-        ar_lags = np.flatnonzero(order).ravel().astype(int) + 1
-        k_states = len(order)
-
-        self.order = order
-        self.ar_lags = ar_lags
-
-        super().__init__(
-            name=name,
-            k_endog=1,
-            k_states=k_states,
-            k_posdef=1,
-            measurement_error=True,
-            combine_hidden_states=True,
-            obs_state_idxs=np.r_[[1.0], np.zeros(k_states - 1)],
-        )
-
-    def populate_component_properties(self):
-        self.state_names = [f"L{i + 1}.data" for i in range(self.k_states)]
-        self.shock_names = [f"{self.name}_innovation"]
-        self.param_names = ["ar_params", "sigma_ar"]
-        self.param_dims = {"ar_params": (AR_PARAM_DIM,)}
-        self.coords = {AR_PARAM_DIM: self.ar_lags.tolist()}
-
-        self.param_info = {
-            "ar_params": {
-                "shape": (self.k_states,),
-                "constraints": None,
-                "dims": (AR_PARAM_DIM,),
-            },
-            "sigma_ar": {"shape": (), "constraints": "Positive", "dims": None},
-        }
-
-    def make_symbolic_graph(self) -> None:
-        k_nonzero = int(sum(self.order))
-        ar_params = self.make_and_register_variable("ar_params", shape=(k_nonzero,))
-        sigma_ar = self.make_and_register_variable("sigma_ar", shape=())
-
-        T = np.eye(self.k_states, k=-1)
-        self.ssm["transition", :, :] = T
-        self.ssm["selection", 0, 0] = 1
-        self.ssm["design", 0, 0] = 1
-
-        ar_idx = ("transition", np.zeros(k_nonzero, dtype="int"), np.nonzero(self.order)[0])
-        self.ssm[ar_idx] = ar_params
-
-        cov_idx = ("state_cov", *np.diag_indices(1))
-        self.ssm[cov_idx] = sigma_ar**2
-
-
-class TimeSeasonality(Component):
-    r"""
-    Seasonal component, modeled in the time domain
-
-    Parameters
-    ----------
-    season_length: int
-        The number of periods in a single seasonal cycle, e.g. 12 for monthly data with annual seasonal pattern, 7 for
-        daily data with weekly seasonal pattern, etc.
-
-    innovations: bool, default True
-        Whether to include stochastic innovations in the strength of the seasonal effect
-
-    name: str, default None
-        A name for this seasonal component. Used to label dimensions and coordinates. Useful when multiple seasonal
-        components are included in the same model. Default is ``f"Seasonal[s={season_length}]"``
-
-    state_names: list of str, default None
-        List of strings for seasonal effect labels. If provided, it must be of length ``season_length``. An example
-        would be ``state_names = ['Mon', 'Tue', 'Wed', 'Thur', 'Fri', 'Sat', 'Sun']`` when data is daily with a weekly
-        seasonal pattern (``season_length = 7``).
-
-        If None, states will be numbered ``[State_0, ..., State_s]``
-
-    remove_first_state: bool, default True
-        If True, the first state will be removed from the model. This is done because there are only n-1 degrees of
-        freedom in the seasonal component, and one state is not identified. If False, the first state will be
-        included in the model, but it will not be identified -- you will need to handle this in the priors (e.g. with
-        ZeroSumNormal).
-
-    Notes
-    -----
-    A seasonal effect is any pattern that repeats every fixed interval. Although there are many possible ways to
-    model seasonal effects, the implementation used here is the one described by [1] as the "canonical" time domain
-    representation. The seasonal component can be expressed:
-
-    .. math::
-        \gamma_t = -\sum_{i=1}^{s-1} \gamma_{t-i} + \omega_t, \quad \omega_t \sim N(0, \sigma_\gamma)
-
-    Where :math:`s` is the ``seasonal_length`` parameter and :math:`\omega_t` is the (optional) stochastic innovation.
-    To give interpretation to the :math:`\gamma` terms, it is helpful to work  through the algebra for a simple
-    example. Let :math:`s=4`, and omit the shock term. Define initial conditions :math:`\gamma_0, \gamma_{-1},
-    \gamma_{-2}`. The value of the seasonal component for the first 5 timesteps will be:
-
-    .. math::
-        \begin{align}
-            \gamma_1 &= -\gamma_0 - \gamma_{-1} - \gamma_{-2} \\
-             \gamma_2 &= -\gamma_1 - \gamma_0 - \gamma_{-1} \\
-                       &= -(-\gamma_0 - \gamma_{-1} - \gamma_{-2}) - \gamma_0 - \gamma_{-1}  \\
-                       &= (\gamma_0 - \gamma_0 )+ (\gamma_{-1} - \gamma_{-1}) + \gamma_{-2} \\
-                       &= \gamma_{-2} \\
-              \gamma_3 &= -\gamma_2 - \gamma_1 - \gamma_0  \\
-                       &= -\gamma_{-2} - (-\gamma_0 - \gamma_{-1} - \gamma_{-2}) - \gamma_0 \\
-                       &=  (\gamma_{-2} - \gamma_{-2}) + \gamma_{-1} + (\gamma_0 - \gamma_0) \\
-                       &= \gamma_{-1} \\
-              \gamma_4 &= -\gamma_3 - \gamma_2 - \gamma_1 \\
-                       &= -\gamma_{-1} - \gamma_{-2} -(-\gamma_0 - \gamma_{-1} - \gamma_{-2}) \\
-                       &= (\gamma_{-2} - \gamma_{-2}) + (\gamma_{-1} - \gamma_{-1}) + \gamma_0 \\
-                       &= \gamma_0 \\
-              \gamma_5 &= -\gamma_4 - \gamma_3 - \gamma_2 \\
-                       &= -\gamma_0 - \gamma_{-1} - \gamma_{-2} \\
-                       &= \gamma_1
-        \end{align}
-
-    This exercise shows that, given a list ``initial_conditions`` of length ``s-1``, the effects of this model will be:
-
-        - Period 1: ``-sum(initial_conditions)``
-        - Period 2: ``initial_conditions[-1]``
-        - Period 3: ``initial_conditions[-2]``
-        - ...
-        - Period s: ``initial_conditions[0]``
-        - Period s+1: ``-sum(initial_condition)``
-
-    And so on. So for interpretation, the ``season_length - 1`` initial states are, when reversed, the coefficients
-    associated with ``state_names[1:]``.
-
-    .. warning::
-        Although the ``state_names`` argument expects a list of length ``season_length``, only ``state_names[1:]``
-        will be saved as model dimensions, since the 1st coefficient is not identified (it is defined as
-        :math:`-\sum_{i=1}^{s} \gamma_{t-i}`).
-
-    Examples
-    --------
-    Estimate monthly with a model with a gaussian random walk trend and monthly seasonality:
-
-    .. code:: python
-
-        from pymc_extras.statespace import structural as st
-        import pymc as pm
-        import pytensor.tensor as pt
-        import pandas as pd
-
-        # Get month names
-        state_names = pd.date_range('1900-01-01', '1900-12-31', freq='MS').month_name().tolist()
-
-        # Build the structural model
-        grw = st.LevelTrendComponent(order=1, innovations_order=1)
-        annual_season = st.TimeSeasonality(season_length=12, name='annual', state_names=state_names, innovations=False)
-        ss_mod = (grw + annual_season).build()
-
-        # Estimate with PyMC
-        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'])
-            intitial_trend = pm.Deterministic('initial_trend', pt.zeros(1), dims=ss_mod.param_dims['initial_trend'])
-            annual_coefs = pm.Normal('annual_coefs', sigma=1e-2, dims=ss_mod.param_dims['annual_coefs'])
-            trend_sigmas = pm.HalfNormal('trend_sigmas', sigma=1e-6, dims=ss_mod.param_dims['trend_sigmas'])
-            ss_mod.build_statespace_graph(data)
-            idata = pm.sample(nuts_sampler='numpyro')
-
-    References
-    ----------
-    .. [1] Durbin, James, and Siem Jan Koopman. 2012.
-        Time Series Analysis by State Space Methods: Second Edition.
-        Oxford University Press.
-    """
-
-    def __init__(
-        self,
-        season_length: int,
-        innovations: bool = True,
-        name: str | None = None,
-        state_names: list | None = None,
-        remove_first_state: bool = True,
-    ):
-        if name is None:
-            name = f"Seasonal[s={season_length}]"
-        if state_names is None:
-            state_names = [f"{name}_{i}" for i in range(season_length)]
-        else:
-            if len(state_names) != season_length:
-                raise ValueError(
-                    f"state_names must be a list of length season_length, got {len(state_names)}"
-                )
-            state_names = state_names.copy()
-        self.innovations = innovations
-        self.remove_first_state = remove_first_state
-
-        if self.remove_first_state:
-            # In traditional models, the first state isn't identified, so we can help out the user by automatically
-            # discarding it.
-            # TODO: Can this be stashed and reconstructed automatically somehow?
-            state_names.pop(0)
-
-        k_states = season_length - int(self.remove_first_state)
-
-        super().__init__(
-            name=name,
-            k_endog=1,
-            k_states=k_states,
-            k_posdef=int(innovations),
-            state_names=state_names,
-            measurement_error=False,
-            combine_hidden_states=True,
-            obs_state_idxs=np.r_[[1.0], np.zeros(k_states - 1)],
-        )
-
-    def populate_component_properties(self):
-        self.param_names = [f"{self.name}_coefs"]
-        self.param_info = {
-            f"{self.name}_coefs": {
-                "shape": (self.k_states,),
-                "constraints": None,
-                "dims": (f"{self.name}_state",),
-            }
-        }
-        self.param_dims = {f"{self.name}_coefs": (f"{self.name}_state",)}
-        self.coords = {f"{self.name}_state": self.state_names}
-
-        if self.innovations:
-            self.param_names += [f"sigma_{self.name}"]
-            self.param_info[f"sigma_{self.name}"] = {
-                "shape": (),
-                "constraints": "Positive",
-                "dims": None,
-            }
-            self.shock_names = [f"{self.name}"]
-
-    def make_symbolic_graph(self) -> None:
-        if self.remove_first_state:
-            # In this case, parameters are normalized to sum to zero, so the current state is the negative sum of
-            # all previous states.
-            T = np.eye(self.k_states, k=-1)
-            T[0, :] = -1
-        else:
-            # In this case we assume the user to be responsible for ensuring the states sum to zero, so T is just a
-            # circulant matrix that cycles between the states.
-            T = np.eye(self.k_states, k=1)
-            T[-1, 0] = 1
-
-        self.ssm["transition", :, :] = T
-        self.ssm["design", 0, 0] = 1
-
-        initial_states = self.make_and_register_variable(
-            f"{self.name}_coefs", shape=(self.k_states,)
-        )
-        self.ssm["initial_state", np.arange(self.k_states, dtype=int)] = initial_states
-
-        if self.innovations:
-            self.ssm["selection", 0, 0] = 1
-            season_sigma = self.make_and_register_variable(f"sigma_{self.name}", shape=())
-            cov_idx = ("state_cov", *np.diag_indices(1))
-            self.ssm[cov_idx] = season_sigma**2
-
-
-class FrequencySeasonality(Component):
-    r"""
-    Seasonal component, modeled in the frequency domain
-
-    Parameters
-    ----------
-    season_length: float
-        The number of periods in a single seasonal cycle, e.g. 12 for monthly data with annual seasonal pattern, 7 for
-        daily data with weekly seasonal pattern, etc. Non-integer seasonal_length is also permitted, for example
-        365.2422 days in a (solar) year.
-
-    n: int
-        Number of fourier features to include in the seasonal component. Default is ``season_length // 2``, which
-        is the maximum possible. A smaller number can be used for a more wave-like seasonal pattern.
-
-    name: str, default None
-        A name for this seasonal component. Used to label dimensions and coordinates. Useful when multiple seasonal
-        components are included in the same model. Default is ``f"Seasonal[s={season_length}, n={n}]"``
-
-    innovations: bool, default True
-        Whether to include stochastic innovations in the strength of the seasonal effect
-
-    Notes
-    -----
-    A seasonal effect is any pattern that repeats every fixed interval. Although there are many possible ways to
-    model seasonal effects, the implementation used here is the one described by [1] as the "canonical" frequency domain
-    representation. The seasonal component can be expressed:
-
-    .. math::
-        \begin{align}
-            \gamma_t &= \sum_{j=1}^{2n} \gamma_{j,t} \\
-            \gamma_{j, t+1} &= \gamma_{j,t} \cos \lambda_j + \gamma_{j,t}^\star \sin \lambda_j + \omega_{j, t} \\
-            \gamma_{j, t}^\star &= -\gamma_{j,t} \sin \lambda_j + \gamma_{j,t}^\star \cos \lambda_j + \omega_{j,t}^\star
-            \lambda_j &= \frac{2\pi j}{s}
-        \end{align}
-
-    Where :math:`s` is the ``seasonal_length``.
-
-    Unlike a ``TimeSeasonality`` component, a ``FrequencySeasonality`` component does not require integer season
-    length. In addition, for long seasonal periods, it is possible to obtain a more compact state space representation
-    by choosing ``n << s // 2``. Using ``TimeSeasonality``, an annual seasonal pattern in daily data requires 364
-    states, whereas ``FrequencySeasonality`` always requires ``2 * n`` states, regardless of the ``seasonal_length``.
-    The price of this compactness is less representational power. At ``n = 1``, the seasonal pattern will be a pure
-    sine wave. At ``n = s // 2``, any arbitrary pattern can be represented.
-
-    One cost of the added flexibility of ``FrequencySeasonality`` is reduced interpretability. States of this model are
-    coefficients :math:`\gamma_1, \gamma^\star_1, \gamma_2, \gamma_2^\star ..., \gamma_n, \gamma^\star_n` associated
-    with different frequencies in the fourier representation of the seasonal pattern. As a result, it is not possible
-    to isolate and identify a "Monday" effect, for instance.
-    """
-
-    def __init__(self, season_length, n=None, name=None, innovations=True):
-        if n is None:
-            n = int(season_length // 2)
-        if name is None:
-            name = f"Frequency[s={season_length}, n={n}]"
-
-        k_states = n * 2
-        self.n = n
-        self.season_length = season_length
-        self.innovations = innovations
-
-        # If the model is completely saturated (n = s // 2), the last state will not be identified, so it shouldn't
-        # get a parameter assigned to it and should just be fixed to zero.
-        # Test this way (rather than n == s // 2) to catch cases when n is non-integer.
-        self.last_state_not_identified = self.season_length / self.n == 2.0
-        self.n_coefs = k_states - int(self.last_state_not_identified)
-
-        obs_state_idx = np.zeros(k_states)
-        obs_state_idx[slice(0, k_states, 2)] = 1
-
-        super().__init__(
-            name=name,
-            k_endog=1,
-            k_states=k_states,
-            k_posdef=k_states * int(self.innovations),
-            measurement_error=False,
-            combine_hidden_states=True,
-            obs_state_idxs=obs_state_idx,
-        )
-
-    def make_symbolic_graph(self) -> None:
-        self.ssm["design", 0, slice(0, self.k_states, 2)] = 1
-
-        init_state = self.make_and_register_variable(f"{self.name}", shape=(self.n_coefs,))
-
-        init_state_idx = np.arange(self.n_coefs, dtype=int)
-        self.ssm["initial_state", init_state_idx] = init_state
-
-        T_mats = [_frequency_transition_block(self.season_length, j + 1) for j in range(self.n)]
-        T = pt.linalg.block_diag(*T_mats)
-        self.ssm["transition", :, :] = T
-
-        if self.innovations:
-            sigma_season = self.make_and_register_variable(f"sigma_{self.name}", shape=())
-            self.ssm["state_cov", :, :] = pt.eye(self.k_posdef) * sigma_season**2
-            self.ssm["selection", :, :] = np.eye(self.k_states)
-
-    def populate_component_properties(self):
-        self.state_names = [f"{self.name}_{f}_{i}" for i in range(self.n) for f in ["Cos", "Sin"]]
-        self.param_names = [f"{self.name}"]
-
-        self.param_dims = {self.name: (f"{self.name}_state",)}
-        self.param_info = {
-            f"{self.name}": {
-                "shape": (self.k_states - int(self.last_state_not_identified),),
-                "constraints": None,
-                "dims": (f"{self.name}_state",),
-            }
-        }
-
-        init_state_idx = np.arange(self.k_states, dtype=int)
-        if self.last_state_not_identified:
-            init_state_idx = init_state_idx[:-1]
-        self.coords = {f"{self.name}_state": [self.state_names[i] for i in init_state_idx]}
-
-        if self.innovations:
-            self.shock_names = self.state_names.copy()
-            self.param_names += [f"sigma_{self.name}"]
-            self.param_info[f"sigma_{self.name}"] = {
-                "shape": (),
-                "constraints": "Positive",
-                "dims": None,
-            }
-
-
-class CycleComponent(Component):
-    r"""
-    A component for modeling longer-term cyclical effects
-
-    Parameters
-    ----------
-    name: str
-        Name of the component. Used in generated coordinates and state names. If None, a descriptive name will be
-        used.
-
-    cycle_length: int, optional
-        The length of the cycle, in the calendar units of your data. For example, if your data is monthly, and you
-        want to model a 12-month cycle, use ``cycle_length=12``. You cannot specify both ``cycle_length`` and
-        ``estimate_cycle_length``.
-
-    estimate_cycle_length: bool, default False
-        Whether to estimate the cycle length. If True, an additional parameter, ``cycle_length`` will be added to the
-        model. You cannot specify both ``cycle_length`` and ``estimate_cycle_length``.
-
-    dampen: bool, default False
-        Whether to dampen the cycle by multiplying by a dampening factor :math:`\rho` at every timestep. If true,
-        an additional parameter, ``dampening_factor`` will be added to the model.
-
-    innovations: bool, default True
-        Whether to include stochastic innovations in the strength of the seasonal effect. If True, an additional
-        parameter, ``sigma_{name}`` will be added to the model.
-
-    Notes
-    -----
-    The cycle component is very similar in implementation to the frequency domain seasonal component, expect that it
-    is restricted to n=1. The cycle component can be expressed:
-
-    .. math::
-        \begin{align}
-            \gamma_t &= \rho \gamma_{t-1} \cos \lambda + \rho \gamma_{t-1}^\star \sin \lambda + \omega_{t} \\
-            \gamma_{t}^\star &= -\rho \gamma_{t-1} \sin \lambda + \rho \gamma_{t-1}^\star \cos \lambda + \omega_{t}^\star \\
-            \lambda &= \frac{2\pi}{s}
-        \end{align}
-
-    Where :math:`s` is the ``cycle_length``. [1] recommend that this component be used for longer term cyclical
-    effects, such as business cycles, and that the seasonal component be used for shorter term effects, such as
-    weekly or monthly seasonality.
-
-    Unlike a FrequencySeasonality component, the length of a CycleComponent can be estimated.
-
-    Examples
-    --------
-    Estimate a business cycle with length between 6 and 12 years:
-
-    .. code:: python
-
-        from pymc_extras.statespace import structural as st
-        import pymc as pm
-        import pytensor.tensor as pt
-        import pandas as pd
-        import numpy as np
-
-        data = np.random.normal(size=(100, 1))
-
-        # Build the structural model
-        grw = st.LevelTrendComponent(order=1, innovations_order=1)
-        cycle = st.CycleComponent('business_cycle', estimate_cycle_length=True, dampen=False)
-        ss_mod = (grw + cycle).build()
-
-        # Estimate with PyMC
-        with pm.Model(coords=ss_mod.coords) as model:
-            P0 = pm.Deterministic('P0', pt.eye(ss_mod.k_states), dims=ss_mod.param_dims['P0'])
-            intitial_trend = pm.Normal('initial_trend', dims=ss_mod.param_dims['initial_trend'])
-            sigma_trend = pm.HalfNormal('sigma_trend', dims=ss_mod.param_dims['sigma_trend'])
-
-            cycle_strength = pm.Normal('business_cycle')
-            cycle_length = pm.Uniform('business_cycle_length', lower=6, upper=12)
-
-            sigma_cycle = pm.HalfNormal('sigma_business_cycle', sigma=1)
-            ss_mod.build_statespace_graph(data)
-
-            idata = pm.sample(nuts_sampler='numpyro')
-
-    References
-    ----------
-    .. [1] Durbin, James, and Siem Jan Koopman. 2012.
-        Time Series Analysis by State Space Methods: Second Edition.
-        Oxford University Press.
-    """
-
-    def __init__(
-        self,
-        name: str | None = None,
-        cycle_length: int | None = None,
-        estimate_cycle_length: bool = False,
-        dampen: bool = False,
-        innovations: bool = True,
-    ):
-        if cycle_length is None and not estimate_cycle_length:
-            raise ValueError("Must specify cycle_length if estimate_cycle_length is False")
-        if cycle_length is not None and estimate_cycle_length:
-            raise ValueError("Cannot specify cycle_length if estimate_cycle_length is True")
-        if name is None:
-            cycle = int(cycle_length) if cycle_length is not None else "Estimate"
-            name = f"Cycle[s={cycle}, dampen={dampen}, innovations={innovations}]"
-
-        self.estimate_cycle_length = estimate_cycle_length
-        self.cycle_length = cycle_length
-        self.innovations = innovations
-        self.dampen = dampen
-        self.n_coefs = 1
-
-        k_states = 2
-        k_endog = 1
-        k_posdef = 2
-
-        obs_state_idx = np.zeros(k_states)
-        obs_state_idx[slice(0, k_states, 2)] = 1
-
-        super().__init__(
-            name=name,
-            k_endog=k_endog,
-            k_states=k_states,
-            k_posdef=k_posdef,
-            measurement_error=False,
-            combine_hidden_states=True,
-            obs_state_idxs=obs_state_idx,
-        )
-
-    def make_symbolic_graph(self) -> None:
-        self.ssm["design", 0, slice(0, self.k_states, 2)] = 1
-        self.ssm["selection", :, :] = np.eye(self.k_states)
-        self.param_dims = {self.name: (f"{self.name}_state",)}
-        self.coords = {f"{self.name}_state": self.state_names}
-
-        init_state = self.make_and_register_variable(f"{self.name}", shape=(self.k_states,))
-
-        self.ssm["initial_state", :] = init_state
-
-        if self.estimate_cycle_length:
-            lamb = self.make_and_register_variable(f"{self.name}_length", shape=())
-        else:
-            lamb = self.cycle_length
-
-        if self.dampen:
-            rho = self.make_and_register_variable(f"{self.name}_dampening_factor", shape=())
-        else:
-            rho = 1
-
-        T = rho * _frequency_transition_block(lamb, j=1)
-        self.ssm["transition", :, :] = T
-
-        if self.innovations:
-            sigma_cycle = self.make_and_register_variable(f"sigma_{self.name}", shape=())
-            self.ssm["state_cov", :, :] = pt.eye(self.k_posdef) * sigma_cycle**2
-
-    def populate_component_properties(self):
-        self.state_names = [f"{self.name}_{f}" for f in ["Cos", "Sin"]]
-        self.param_names = [f"{self.name}"]
-
-        self.param_info = {
-            f"{self.name}": {
-                "shape": (2,),
-                "constraints": None,
-                "dims": (f"{self.name}_state",),
-            }
-        }
-
-        if self.estimate_cycle_length:
-            self.param_names += [f"{self.name}_length"]
-            self.param_info[f"{self.name}_length"] = {
-                "shape": (),
-                "constraints": "Positive, non-zero",
-                "dims": None,
-            }
-
-        if self.dampen:
-            self.param_names += [f"{self.name}_dampening_factor"]
-            self.param_info[f"{self.name}_dampening_factor"] = {
-                "shape": (),
-                "constraints": "0 < x ≤ 1",
-                "dims": None,
-            }
-
-        if self.innovations:
-            self.param_names += [f"sigma_{self.name}"]
-            self.param_info[f"sigma_{self.name}"] = {
-                "shape": (),
-                "constraints": "Positive",
-                "dims": None,
-            }
-            self.shock_names = self.state_names.copy()
-
-
-class RegressionComponent(Component):
-    def __init__(
-        self,
-        k_exog: int | None = None,
-        name: str | None = "Exogenous",
-        state_names: list[str] | None = None,
-        innovations=False,
-    ):
-        self.innovations = innovations
-        k_exog = self._handle_input_data(k_exog, state_names, name)
-
-        k_states = k_exog
-        k_endog = 1
-        k_posdef = k_exog
-
-        super().__init__(
-            name=name,
-            k_endog=k_endog,
-            k_states=k_states,
-            k_posdef=k_posdef,
-            state_names=self.state_names,
-            measurement_error=False,
-            combine_hidden_states=False,
-            exog_names=[f"data_{name}"],
-            obs_state_idxs=np.ones(k_states),
-        )
-
-    @staticmethod
-    def _get_state_names(k_exog: int | None, state_names: list[str] | None, name: str):
-        if k_exog is None and state_names is None:
-            raise ValueError("Must specify at least one of k_exog or state_names")
-        if state_names is not None and k_exog is not None:
-            if len(state_names) != k_exog:
-                raise ValueError(f"Expected {k_exog} state names, found {len(state_names)}")
-        elif k_exog is None:
-            k_exog = len(state_names)
-        else:
-            state_names = [f"{name}_{i + 1}" for i in range(k_exog)]
-
-        return k_exog, state_names
-
-    def _handle_input_data(self, k_exog: int, state_names: list[str] | None, name) -> int:
-        k_exog, state_names = self._get_state_names(k_exog, state_names, name)
-        self.state_names = state_names
-
-        return k_exog
-
-    def make_symbolic_graph(self) -> None:
-        betas = self.make_and_register_variable(f"beta_{self.name}", shape=(self.k_states,))
-        regression_data = self.make_and_register_data(
-            f"data_{self.name}", shape=(None, self.k_states)
-        )
-
-        self.ssm["initial_state", :] = betas
-        self.ssm["transition", :, :] = np.eye(self.k_states)
-        self.ssm["selection", :, :] = np.eye(self.k_states)
-        self.ssm["design"] = pt.expand_dims(regression_data, 1)
-
-        if self.innovations:
-            sigma_beta = self.make_and_register_variable(
-                f"sigma_beta_{self.name}", (self.k_states,)
-            )
-            row_idx, col_idx = np.diag_indices(self.k_states)
-            self.ssm["state_cov", row_idx, col_idx] = sigma_beta**2
-
-    def populate_component_properties(self) -> None:
-        self.shock_names = self.state_names
-
-        self.param_names = [f"beta_{self.name}"]
-        self.data_names = [f"data_{self.name}"]
-        self.param_dims = {
-            f"beta_{self.name}": ("exog_state",),
-        }
-
-        self.param_info = {
-            f"beta_{self.name}": {
-                "shape": (self.k_states,),
-                "constraints": None,
-                "dims": ("exog_state",),
-            },
-        }
-
-        self.data_info = {
-            f"data_{self.name}": {
-                "shape": (None, self.k_states),
-                "dims": (TIME_DIM, "exog_state"),
-            },
-        }
-        self.coords = {"exog_state": self.state_names}
-
-        if self.innovations:
-            self.param_names += [f"sigma_beta_{self.name}"]
-            self.param_dims[f"sigma_beta_{self.name}"] = "exog_state"
-            self.param_info[f"sigma_beta_{self.name}"] = {
-                "shape": (),
-                "constraints": "Positive",
-                "dims": ("exog_state",),
-            }