Posts tagged pymc3.HalfCauchy

GLM: Model Selection

• 08 January 2022
• Category: intermediate
• Tags: cross validation generalized linear models loo model comparison pymc3.HalfCauchy pymc3.Model pymc3.Normal waic

A fairly minimal reproducable example of Model Selection using WAIC, and LOO as currently implemented in PyMC3.

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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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