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Allow for HSGP Component in MMM class #1250

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wd60622 opened this issue Dec 2, 2024 · 1 comment · May be fixed by #1432
Open

Allow for HSGP Component in MMM class #1250

wd60622 opened this issue Dec 2, 2024 · 1 comment · May be fixed by #1432
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enhancement New feature or request request discussion TVPs Related to time varying parameters
Milestone
0.12.0

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@wd60622
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wd60622 commented Dec 2, 2024

Following #1246, these components should be integrated into the MMM class.

This might also support the previous boolean flags for time_varying_intercept and time_varying_media but also include passing of either of the classes, HSGP or HSGPPeriodic

from pymc_marketing.prior import Prior
from pymc_marketing.mmm import MMM, HSGPPeriodic, GeometricAdstock, LogisticSaturation

media_hsgp = HSGPPeriodic(
    scale=Prior("HalfNormal", sigma=1), 
    ls=30, # days
    period=365, # days
    ...,
    dims="date",
)

mmm = MMM(
    date_column=..., 
    channel_columns=...,
    adstock=GeometricAdstock(l_max=10),
    saturation=LogisticSaturation(),
    time_varying_intercept=True, # Previous behavior or updated with HSGP behind the scenes
    time_varying_media=media_hsgp,
    ...,
)

The complicated aspect is that the current implementation of GPs will perform a softplus transformation on that variable. Would that be explicit now? Or handled for all custom classes within the MMM class?

Thoughts on this? @juanitorduz @cetagostini
@wd60622 wd60622 added TVPs Related to time varying parameters enhancement New feature or request request discussion and removed Needs Triage labels Dec 2, 2024
@cetagostini
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Like a lot this implementation, very similar to what I had in mind on the issue here. Lets go for it!

@wd60622 wd60622 added this to the 0.12.0 milestone Jan 15, 2025
@wd60622 wd60622 linked a pull request Jan 24, 2025 that will close this issue
Pass arbitrary HSGP to MMM class #1432
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Labels
enhancement New feature or request request discussion TVPs Related to time varying parameters
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Milestone
0.12.0
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Pass arbitrary HSGP to MMM class pymc-labs/pymc-marketing
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@wd60622 @cetagostini