Notebooks – Sarem Seitz

Collection of short notebooks that don’t qualify as full-length articles.

Title
Censored Data
Decision Tree Ensembles for Volatility Forecasting
GARCH with varying coefficients
Gradient Boosting with Polynomial Decision Trees
Hidden Markov Model in Julia
Kalman Filter in Julia
Maximum Likelihood Estimation via Maximum-Likelihood
Multivariate GARCH in Tensorflow/Keras
Probabilistic Forecast with Random Forests
Regression with Time-Varying Coefficients
Scaled forward-backward algorithm + AutoDiff for optimizing the observation distributions
Stochastic Volatility model in C++ (using pybind11)
Variational inference of latent state in state-space models