I saw some example for out of sample prediction is changing the value of x and checking the output of y.
For example in the stock price prediction case, x is time while y is changes in price.
Based on my understanding, MCMC is ‘memoryless’ where future value is based on current value.
I am interested in instead of using time as x value, I want to know how to use current y value as input and check what is the predicted value.
May I know is there an example or some method to do it in Pyro or numpyro? using current y value in set_data and run the sample posterior predictive to get the predicted y_value
Thank you very much.