Anybody got a good Poisson state-space model?

Simple question, I hope. I’m currently trying to fit Poisson process models, where the underlying process is (e.g., currently) a local level model with mean reversion (and I may see if an inertia term does anything, when I get this to work without complaining). I model this as a state space model. My current script works, but not perfectly, and I interpret Stan to be telling me that I should reparameterise the innovation process somehow (because the currently constant volatility of this is strikingly linearly correlated with energy__). I suspect the problem has something to do with the fact that I model the log of the underlying process (for the obvious reasons), but t.b.h. I don’t know, and the only pair-plot that looks really badly wrong is what I just mentioned.

So far, my google fishing trip has dragged up nothing, so…

Alternative 1 would be to stare at the model for several days, in the hope that something occurs to me, possibly in vain.

Alternative 2 is to ask here if anybody has gotten such a thing up and r running with no-complaints from Stan, and, if such a person does exist, if they might point me in the direction of a model, or provide wise advice.

Many thanks in advance for any interesting suggestions,

Sean Matthews

OK - now it works, not quite clear what was wrong before.

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Did you still need help tracking down what the issue was?


It was an unnoticed reparameterisation issue. Now fixed (with added extra understanding).

But thanks.


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