PYMC

Random Walk Implementation

• Time series implementation questions
• Implement DiffTransform for RandomWalk distributions
• RandomWalk implementation using scan vs vectorized
• GaussianRandomWalk implementation using library vs from scratch
• Beta random walk
  • scan
  • pm.Beta('x', ...).cumsum()
  • wrap a GRW inside sigmoid
• 5 Levels of Difficulty - Bayesian Gaussian Random Walk with PyMC3 and Theano
• tensorflow/probability/Estimating_COVID_19_in_11_European_countries.ipynb
  • fine tuned bijectors to solve problem of heaviness of tails of lognormal distribution and make inference fast and numerically more stable

Random Walk Predictions

• Important points of making predictions in GRW timeseries
• Forecasting using Gaussian Random Walk