PyBATS, Bayesian Time Series Analysis in Python

I’m developing a Python Package for Bayesian time series analysis, called PyBATS. The package specializes in dynamic generalized linear models (DGLMs), which can be used to analyze time series of counts (Poisson DGLMs), 0/1 events (Bernoulli DGLMs), and of course continuous outcomes (Normal DLMs). [Read More]
Tags: software

Adaptive Variable Selection

Adaptive Variable Selection for Sequential Prediction in Multivariate Dynamic Models by Mike West, Michael Lindon, and myself has been released on arXiv. In the paper, we discuss the advantages of comparing models using a specific objective function, rather than model likelihood. The need for well defined objectives is particularly clear... [Read More]
Tags: paper