Ross Taylor
Ross Taylor
Need to make a stochastic_model() method for each model type which allows for a subset of the data to be used. This can then be used for a mini-batch BBVI...
As an alternative to diffuse initialization? Ideally would like to keep diffuse initialization though if doing MLE or MAP, so need to find a way to support both options.
Problem: - Silly using default scipy L-BFGS for optimization since it uses numerical gradients and line-search which require multiple inversions of the covariance matrix. Need to replace with **analytical** gradients....
Decided to do more work on this before releasing the beta: - [x] Fix the log-likelihood term - [x] Implement iterative GP - [ ] Implement PITC pre-conditioning - [...
Should be based on the EGARCH equivalents, but need to take into account additional skewness parameter and the effects of the parameter on the location of the predicted series.
Including a SoTA badge for this implementation that highlights the performance of the paper, and allows people to compare to alternative methods.
Including SoTA badges for this implementation that highlights the performance of the paper, and allows people to compare to alternative methods.
Including a SoTA badge for this implementation that highlights the performance of the paper, and allows people to compare to alternative methods.