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Hosting a static Blog on Bare-Metals Kubernetes - This could have been a GitHub pages site…
Kubernetes
In today’s tech landscape, Kubernetes has become synonymous with scalable and resilient application hosting. But what happens when you combine it with the relatively humble…
Oct 1, 2024
Sarem
With PyTorch, I can Gradient Boost anything
Decision Trees
Gradient Boosting
Gradient Boosting is a powerful machine learning technique that can be used for both regression and classification problems. Its fundamental idea is to combine weak, almost…
Jan 18, 2024
Sarem
Winning with Simple, not even Linear Time-Series Models
Time Series
Disclaimer: Title heavily inspired by this great talk.
May 10, 2023
Sarem
Varying Coefficient Boosting for geospatial and temporal data
Decision Trees
Gradient Boosting
Last time, amongst other ideas, we looked at how to implement Varying Coefficient Boosting in PyTorch. These types of models are quite useful, as they are considerably…
May 10, 2023
Sarem
Varying Coefficient GARCH
Time Series
As you can probably tell by my other articles (for example here, here and here), I am a big fan of GARCH models. Forecasting conditional variance is arguably the best we can…
Jan 19, 2023
Sarem
When Point Forecasts Are Completely Useless
Time Series
In the last article, we discussed one advantage of probabilistic forecasts over point forecasts - namely, handling time-to-exceedance problems. In this post, we will examine…
Jan 1, 2023
Sarem
Why I prefer Probabilistic Forecasts - Hitting Time Probabilities
Time Series
Probabilistic forecasts are a more comprehensive way to predict future events compared to point forecasts. Probabilistic forecasts involve creating a model that predicts the…
Dec 6, 2022
Sarem
Random Forests and Boosting for ARCH-like volatility forecasts
Time Series
Decision Trees
In the last article, we discussed how Decision Trees and Random Forests can be used for forecasting. While mean and point forecasts are the most obvious applications, they…
Oct 7, 2022
Sarem
Forecasting with Decision Trees and Random Forests
Time Series
Decision Trees
Today, Deep Learning dominates many areas of modern machine learning. On the other hand, Decision Tree based models still shine particularly for tabular data. If you look up…
Sep 19, 2022
Sarem
Multivariate GARCH with Python and Tensorflow
Time Series
Tensorflow
In an earlier article, we discussed how to replace the conditional Gaussian assumption in a traditional GARCH model. While such gimmicks are a good start, they are far from…
Sep 11, 2022
Sarem
Cointegrated time-series and when differencing might be bad
Time Series
A standard method in the time-series analysis toolkit are difference transformations or
differencing
. Despite being dead simple, differencing can be quite powerful. In fact…
Aug 25, 2022
Sarem
Facebook Prophet, Covid and why I don’t trust the Prophet
Time Series
Facebook Prophet is arguably one of the most widely known tools for time-series forecasting and related tasks. Ask any data scientist who works with time-series data if they…
Aug 8, 2022
Sarem
Probabilistic CUSUM for change point detection
Time Series
Change Point Detection
According to the famous principle of [Occam’s Razor], simpler models are more likely to be close to truth than complex ones. For change point detection problems - as in IoT…
Aug 4, 2022
Sarem
Multivariate, probabilistic time-series forecasting with LSTM and Gaussian Copula
Time Series
Neural Networks
As commonly known, LSTMs (Long short-term memory networks) are great for dealing with sequential data. One such example are multivariate time-series data. Here, LSTMs can…
Jun 30, 2022
Sarem
Let’s make GARCH more flexible with Normalizing Flows
Time Series
For financial time-series data, GARCH (Generalized AutoRegressive Conditional Heteroscedasticity) models play an important role. While forecasting mean returns is usually…
Jun 27, 2022
Sarem
ARMA forecasting for non-Gaussian time-series data using Copulas
Time Series
ARMA (AutoRegressive – Moving Average) models are arguably the most popular approach to time-series forecasting. Unfortunately, plain ARMA is made for Gaussian distributed…
Jun 17, 2022
Sarem
Bayesian Machine Learning and Julia are a match made in heaven
Bayesian
Julia
As I argued in an earlier article, Bayesian Machine Learning can be quite powerful. Building actual Bayesian models in Python, however, is sometimes a bit of a hassle. Most…
Mar 8, 2022
Sarem
When is Bayesian Machine Learning actually useful?
Bayesian
When it comes to Bayesian Machine Learning, you likely either love it or prefer to stay at a safe distance from anything Bayesian. Given that current state-of-the-art models…
Jan 22, 2022
Sarem
A Gaussian Process model for heteroscedasticity
Bayesian
Gaussian Processes
A common phenomenon when working on continuous regression problems is the non-constant residual variance, also known as heteroscedasticity. While heteroscedasticity is often…
Jun 28, 2021
Sarem
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