Posts tagged generalized linear model

GLM: Mini-batch ADVI on hierarchical regression model

• 23 September 2021
• Category: intermediate
• Tags: generalized linear model hierarchical model pymc3.Minibatch pymc3.Model pymc3.NUTS pymc3.Normal pymc3.Uniform variational inference

Unlike Gaussian mixture models, (hierarchical) regression models have independent variables. These variables affect the likelihood function, but are not random variables. When using mini-batch, we should take care of that.

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Rolling Regression

• 15 September 2021
• Category: intermediate
• Tags: generalized linear model pymc3.Exponential pymc3.GaussianRandomWalk pymc3.HalfCauchy pymc3.HalfNormal pymc3.Model pymc3.Normal regression

Pairs trading is a famous technique in algorithmic trading that plays two stocks against each other.

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