Building Time-Series Models With Known Data Structure


Bill Engels



This post describes how Gaussian Processes can be used to build time-series models for cases where we have domain knowledge of certain properties of the underlying time-series (seasonality, differently sources of data). The data are carbon dioxide measurements from ice cores as well as atmospheric readings from Mauna Loa (a volcano in Hawaii) with which we use PyMC to:

  • Fit fully Bayesian Gaussian Processes with NUTS
  • Model inputs whose exact locations are uncertain (uncertainty in ‘x’)
  • Design a semiparametric Gaussian process model
  • Build a changepoint covariance function / kernel
  • Definine a custom mean and a custom covariance function

For the full example, see:
Example: Mauna Loa CO2 continued

Work with PyMC Labs

If you are interested in seeing what we at PyMC Labs can do for you, then please email We work with companies at a variety of scales and with varying levels of existing modeling capacity. We also run corporate workshop training events and can provide sessions ranging from introduction to Bayes to more advanced topics.