Pass arbitrary HSGP to MMM class

[williambdean]

Description

WIP but the API would look like this:

hsgp = SoftPlusHSGP.parameterize_from_data(
    np.arange(X.shape[0]),
    dims=("date", "channel"),
)

mmm = MMM(
    adstock=GeometricAdstock(l_max=8),
    saturation=LogisticSaturation(),
    date_column="date_week",
    channel_columns=["x1", "x2"],
    control_columns=[
        "event_1",
        "event_2",
        "t",
    ],
    time_varying_media=hsgp,
    yearly_seasonality=2,
)
mmm.fit(X, y)

Anything that follows the HSGPLike protocol can be used. This can be GPs or other time varying functions

@runtime_checkable
class HSGPLike(Protocol):
    """Quacks like a HSGP."""

    dims: tuple[str, ...]

    def create_variable(self, name: str) -> TensorVariable:
        """Create a variable."""

    def register_data(self, X: TensorLike) -> Self:
        """Register the data."""
        ...

CC: @cetagostini

Related Issue

• Closes #
• Related to #

Checklist

• Checked that the pre-commit linting/style checks pass. Feel free to comment pre-commit.ci autofix to auto-fix.
• Included tests that prove the fix is effective or that the new feature works
• Added necessary documentation (docstrings and/or example notebooks) using numpydoc format.
• If you are a pro: each commit corresponds to a relevant logical change

---

📚 Documentation preview 📚: https://pymc-marketing--1432.org.readthedocs.build/en/1432/

[codecov]

Codecov Report

❌ Patch coverage is 75.86207% with 14 lines in your changes missing coverage. Please review.
✅ Project coverage is 94.40%. Comparing base (d9f0c51) to head (264ed2e).
⚠️ Report is 348 commits behind head on main.

Files with missing lines	Patch %	Lines
pymc_marketing/mmm/mmm.py	62.06%	11 Missing ⚠️
pymc_marketing/mmm/hsgp.py	81.25%	3 Missing ⚠️

Additional details and impacted files

@@            Coverage Diff             @@
##             main    #1432      +/-   ##
==========================================
- Coverage   94.62%   94.40%   -0.23%     
==========================================
  Files          50       50              
  Lines        5416     5448      +32     
==========================================
+ Hits         5125     5143      +18     
- Misses        291      305      +14     

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[juanitorduz]

cool!

[cetagostini]

Like it will implement on #1036

[juanitorduz]

I like this API a lot!

[juanitorduz]

Hey @williambdean , it would be great to push this one. Do you need some support? What is missing :) ?

[williambdean]

Just a bit of time to complete and some thoughts on how much we want to break the previous behavior as the configuration will likely change quite heavily

[williambdean]

I will likely close this and restart with fresh eyes