Facebook Prophet, Covid and why I don't trust the Prophet
Facebook Prophet is highly popular for time-series forecasting. Let me show you why I am not a big fan and what else you can use.
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Probabilistic CUSUM for change point detection
CUSUM is arguably the simplest algorithm for change point detection problems as in IoT or finance applications.
Multivariate, probabilistic time-series forecasting with LSTM and Gaussian Copula
A quick Jupyter notebook about LSTMs and Copulas using tensorflow probability.
Let's make GARCH more flexible with Normalizing Flows
Who says that the GARCH conditional distribution needs to be Gaussian?
ARMA forecasting for non-Gaussian time-series data using Copulas
Yet another ARMA time-series model for non-normal data.
Bayesian Machine Learning and Julia are a match made in heaven
Bayesian inference with less pain and even less code.
When is Bayesian Machine Learning actually useful?
Personal thoughts about a somewhat controversial paradigm.
A Gaussian Process model for heteroscedasticity
How Gaussian Process regression can handle varying variance.