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Toy Examples

  • [E1] Bayesian vector autoregressive forecasting
    • About this notebook:
      • The basics of vector autoregressive model.
      • Use Gaussian-Wishart distribution as a conjugate prior in Bayesian vector autoregressive (BVAR) model.
      • Implement the Gibbs sampling algorithm for BVAR in Python.
      • Perform multivariate time series forecasting using BVAR.
    • Highlight:
      • Uncertainty estimation.