Dynamical Factor Models (DFM) Implementation (GSOC 2025)

[andreacate]

Dynamical Factor Models (DFM) Implementation

This PR provides a first draft implementation of Dynamical Factor Models as part of my application proposal for the PyMC GSoC 2025 project. A draft of my application report can be found at this link.

Overview

• Added DFM.py with initial functionality

Current Status

This implementation is a work in progress and I welcome any feedback

Next Steps

• Completing the implementation of the new state state models
• Add tests
• Improve documentation with example notebooks

[zaxtax]

Looks interesting! Just say when you think it's ready for review

[fonnesbeck]

cc @jessegrabowski

[review-notebook-app]

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[andreacate]

Thanks for the feedback!

I'm still exploring the best approach for implementing Dynamic Factor Models.
I've added a simple custom DFM model in a Jupyter notebook, which I plan to use as a prototype and testing tool while developing the main BayesianDynamicFactor class.