Time Series, Dynamical Systems, Reinforcement Learning and a little bit of Bayes
Sarem Seitz
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Facebook Prophet, Covid and why I don't trust the Prophet

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.
By Sarem Seitz Aug 8, 2022
Probabilistic CUSUM for change point detection

Probabilistic CUSUM for change point detection

CUSUM is arguably the simplest algorithm for change point detection problems as in IoT or finance applications.
By Sarem Seitz Aug 4, 2022
Multivariate, probabilistic time-series forecasting with LSTM and Gaussian Copula

Multivariate, probabilistic time-series forecasting with LSTM and Gaussian Copula

A quick Jupyter notebook about LSTMs and Copulas using tensorflow probability.
By Sarem Seitz Jun 30, 2022
Let's make GARCH more flexible with Normalizing Flows

Let's make GARCH more flexible with Normalizing Flows

Who says that the GARCH conditional distribution needs to be Gaussian?
By Sarem Seitz Jun 27, 2022
ARMA forecasting for non-Gaussian time-series data using Copulas

ARMA forecasting for non-Gaussian time-series data using Copulas

Yet another ARMA time-series model for non-normal data.
By Sarem Seitz Jun 17, 2022
Bayesian Machine Learning and Julia are a match made in heaven

Bayesian Machine Learning and Julia are a match made in heaven

Bayesian inference with less pain and even less code.
By Sarem Seitz Mar 8, 2022
When is Bayesian Machine Learning actually useful?

When is Bayesian Machine Learning actually useful?

Personal thoughts about a somewhat controversial paradigm.
By Sarem Seitz Jan 27, 2022
A Gaussian Process model for heteroscedasticity

A Gaussian Process model for heteroscedasticity

How Gaussian Process regression can handle varying variance.
By Sarem Seitz Jun 28, 2021

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