jszitas / fable.tbats Goto Github PK

Hello! I’m Juraj Szitas, a somewhat mad Econometrician turned Data Scientist. I keep my open source stuff here - in the hopes that someone finds it useful. I work primarily on Time Series and Time Series ensembling.

Check out:

• soothsayer if you like the fable framework and like the idea of meta learning for time series
• blaze (WIP) A full fledged time series forecasting and analysis toolkit in modern C++.
  • contains a new (S)ARIMA(X) implementation leveraging SIMD
  • fully capable AR and AutoAR
  • Benchmark methods (Integrated Noise)
  • miscellaneous time series utility functions (seasonality identification, stationarity tests)
• stack for some general notes on model stacking
• gpvolatility for an implementation of a funky volatility model
• treecoding for some interesting Trees and Forests (particularly an implementation of 'Autoencoder by Forest')
• nlsolver Nonlinear optimizers as header-only, C++17 library.

I am currently building a lot of things in C++, for fun and profit :)