StateSpaceTimeSeries.get_shrinkage_factors

StateSpaceTimeSeries.get_shrinkage_factors(param_name='beta_exog')

Shrinkage factors of the exogenous regressors.

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

Parameters:

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

Returns:

One row per regressor with the effective shrinkage applied to its coefficient.

Return type:

pd.DataFrame