JSzitas
Credit Quant Developer Interested in Optimization |Time Series Forecasting | Machine Learning | Trees
BarclaysPrague
Pinned Repositories
blaze
A C++17 implementation of ARIMA following R
categoryEncodings
Multiple methods to (quickly) encode factor variables, using data.table
fable.tbats
A fable wrapper for TBATS
gpvolatility
A highly experimental R implementation of https://proceedings.neurips.cc/paper/2014/file/a733fa9b25f33689e2adbe72199f0e62-Paper.pdf
neuralfables
Neural networks (and other highly questionable approaches) for time series forecasting via fable
nlsolver
Easy, header only nonlinear optimizers in C++17
panelWranglR
Common panel data wrangling tasks, with a data.table backend
postDoubleR
**DEPRECATED** Double Machine Learning as in Chernozhukov et al. (2018)
soothsayer
Automatic Time Series Forecasting and Ensembling via Meta-learning
JSzitas's Repositories
JSzitas/categoryEncodings
Multiple methods to (quickly) encode factor variables, using data.table
JSzitas/fable.tbats
A fable wrapper for TBATS
JSzitas/neuralfables
Neural networks (and other highly questionable approaches) for time series forecasting via fable
JSzitas/nlsolver
Easy, header only nonlinear optimizers in C++17
JSzitas/blaze
A C++17 implementation of ARIMA following R
JSzitas/soothsayer
Automatic Time Series Forecasting and Ensembling via Meta-learning
JSzitas/autodep
autodep automates writing roxygen tags - and tracking dependencies.
JSzitas/autodepFailExample
Document unexpected behaviour when calling devtools::document()
JSzitas/gpvolatility
A highly experimental R implementation of https://proceedings.neurips.cc/paper/2014/file/a733fa9b25f33689e2adbe72199f0e62-Paper.pdf
JSzitas/stack
Some fun with stacking model ensembles
JSzitas/autostsm
:exclamation: This is a read-only mirror of the CRAN R package repository. autostsm — Automatic Structural Time Series Models
JSzitas/circulant
A stupid simple circular data structure for recursive time series prediction
JSzitas/contexttree
Contextual Decision Tree in Python
JSzitas/crucible
Agent based modelling in R
JSzitas/fable.fETSmcs
A **fable** port of fETSmcs
JSzitas/HARModel
An implementation of the Heterogeneous AutoRegressive model from Corsi(2009)
JSzitas/hmm_demand
JSzitas/JSzitas
Config files for my GitHub profile.
JSzitas/lazy_workflow
Lazy workflows in R (or reusing your data processing pipelines)
JSzitas/monteprediction_colab_examples
Monte Carlo Submission Examples
JSzitas/multimatch_example
JSzitas/nlsolver_bench
Ongoing benchmarking for nlsolver
JSzitas/NNS_stripped
A fork of Nonlinear Nonparametric Statistics with fewer dependencies
JSzitas/python3.11_speedtest
Simple speed tests for Python 3.11
JSzitas/ridges
JSzitas/stochvol
Partial re-write of the R package stochvol to allow for asymmetry (leverage).
JSzitas/tinyqr
A tiny header only C++17 QR decomposition library
JSzitas/treeson
JSzitas/tscv
JSzitas/what_python_programmers_dont_get
A simple exploration into why cache and vectorisation matter (more than just big O)