Fix hidden state extraction where there are multiple observed states #548
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Pull Request Overview
This PR fixes a bug in hidden state extraction when there are multiple observed states in the state space model. The issue was that the extraction logic wasn't properly handling the combination of hidden states across multiple observed series.
- Fixes the hidden state extraction algorithm to correctly sum subsets of states for each observed state
- Corrects a typo in the component info dictionary key from "k_enodg" to "k_endog"
- Updates the subcomponent naming logic to handle multiple observed states properly
Reviewed Changes
Copilot reviewed 2 out of 2 changed files in this pull request and generated 1 comment.
| File | Description |
|---|---|
| pymc_extras/statespace/models/structural/core.py | Core bug fix for hidden state extraction and typo correction |
| tests/statespace/models/structural/test_core.py | Enhanced test with autoregressive component to verify the fix |
AlexAndorra
approved these changes
Jul 21, 2025
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Looks good, thanks for the quick fix @jessegrabowski ! Note that the linked issue was wrong in the description of the PR: this fixes #544 , not 546 (I fixed the description). I will push the fix for the latter in a few mins
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Closes #544
Hidden state extraction is currently bugged when there are multiple observed. This patches the bug by correctly summing each observed state's subset of states, then returning one new state per observed.
The linked issue pointed out that Autoregressive was broken, but actually so is any component with
combined_hidden_states=True. This PR fixes all such components.