StateSpaceTimeSeries.get_inclusion_probabilities

StateSpaceTimeSeries.get_inclusion_probabilities(param_name='beta_exog')

Posterior inclusion probabilities of the exogenous regressors.

Only available when the model was configured with vs_prior_type=”spike_and_slab” and has been fit.

Interpret the probabilities as a relative ranking of the candidate regressors. The beta_exog point estimates shrink toward zero under this prior (the state-space P0 lets the regression states drift from the parameter), but counterfactual forecasts use the smoothed states and are not affected by that attenuation.

Parameters:

param_name (str) – Name of the coefficient parameter. Defaults to “beta_exog”.

Returns:

One row per regressor with columns “prob” (inclusion probability), “selected” (probability above 0.5), and “gamma_mean” (mean of the selection indicator).

Return type:

pd.DataFrame