functions { real[ , ] get_changepoint_matrix(real[] t, real[] t_change, int T, int S) { // Assumes t and t_change are sorted. real A[T, S]; real a_row[S]; int cp_idx; // Start with an empty matrix. A = rep_array(0, T, S); a_row = rep_array(0, S); cp_idx = 1; // Fill in each row of A. for (i in 1:T) { while ((cp_idx <= S) && (t[i] >= t_change[cp_idx])) { a_row[cp_idx] = 1; cp_idx = cp_idx + 1; } A[i] = a_row; } return A; } // Logistic trend functions real[] logistic_gamma(real k, real m, real[] delta, real[] t_change, int S) { real gamma[S]; // adjusted offsets, for piecewise continuity real k_s[S + 1]; // actual rate in each segment real m_pr; // Compute the rate in each segment k_s[1] = k; for (i in 1:S) { k_s[i + 1] = k_s[i] + delta[i]; } // Piecewise offsets m_pr = m; // The offset in the previous segment for (i in 1:S) { gamma[i] = (t_change[i] - m_pr) * (1 - k_s[i] / k_s[i + 1]); m_pr = m_pr + gamma[i]; // update for the next segment } return gamma; } real[] logistic_trend( real k, real m, real[] delta, real[] t, real[] cap, real[ , ] A, real[] t_change, int S, int T ) { real gamma[S]; real Y[T]; gamma = logistic_gamma(k, m, delta, t_change, S); for (i in 1:T) { Y[i] = cap[i] / (1 + exp(-(k + dot_product(A[i], delta)) * (t[i] - (m + dot_product(A[i], gamma))))); } return Y; } // Linear trend function real[] linear_trend( real k, real m, real[] delta, real[] t, real[ , ] A, real[] t_change, int S, int T ) { real gamma[S]; real Y[T]; for (i in 1:S) { gamma[i] = -t_change[i] * delta[i]; } for (i in 1:T) { Y[i] = (k + dot_product(A[i], delta)) * t[i] + ( m + dot_product(A[i], gamma)); } return Y; } } data { int T; // Number of time periods int K; // Number of regressors real t[T]; // Time real cap[T]; // Capacities for logistic trend real y[T]; // Time series int S; // Number of changepoints real t_change[S]; // Times of trend changepoints real X[T,K]; // Regressors vector[K] sigmas; // Scale on seasonality prior real tau; // Scale on changepoints prior int trend_indicator; // 0 for linear, 1 for logistic real s_a[K]; // Indicator of additive features real s_m[K]; // Indicator of multiplicative features } transformed data { real A[T, S]; A = get_changepoint_matrix(t, t_change, T, S); } parameters { real k; // Base trend growth rate real m; // Trend offset real delta[S]; // Trend rate adjustments real sigma_obs; // Observation noise real beta[K]; // Regressor coefficients } transformed parameters { real trend[T]; real Y[T]; real beta_m[K]; real beta_a[K]; if (trend_indicator == 0) { trend = linear_trend(k, m, delta, t, A, t_change, S, T); } else if (trend_indicator == 1) { trend = logistic_trend(k, m, delta, t, cap, A, t_change, S, T); } for (i in 1:K) { beta_m[i] = beta[i] * s_m[i]; beta_a[i] = beta[i] * s_a[i]; } for (i in 1:T) { Y[i] = ( trend[i] * (1 + dot_product(X[i], beta_m)) + dot_product(X[i], beta_a) ); } } model { //priors k ~ normal(0, 5); m ~ normal(0, 5); delta ~ double_exponential(0, tau); sigma_obs ~ normal(0, 0.5); beta ~ normal(0, sigmas); // Likelihood y ~ normal(Y, sigma_obs); }