Guilherme Bodin
I am a Master's student at PUC-Rio in Rio de Janeiro, Brazil. I have contributed to some packages from the JuliaOpt and participated in GSOC'19 with the project Dualization.jl. I am also one of the developers of StateSpaceModels.jl.
Session
07-29
13:00
10min
Modeling non-Gaussian time series with ScoreDrivenModels.jl
Guilherme Bodin
Time series models with time-varying parameters have become increasingly popular over the years due to their advantages in capturing the dynamics of series of interest. In this context, score-driven models represent a recently developed and powerful framework for modeling time series considering non-Gaussian predictive distributions. In this talk, we present ScoreDrivenModels.jl, a Julia package for modeling, forecasting, and simulating data using score-driven models.
Red Track