Hello! Iโm Juraj Szitas, a somewhat mad Econometrician turned Data Scientist. I keep my open source stuff here - in the hopes that someone finds it useful. I work primarily on Time Series and Time Series ensembling.
Check out:
- soothsayer if you like the fable framework and like the idea of meta learning for time series
- blaze (WIP) A full fledged time series forecasting and analysis toolkit in modern C++.
- contains a new (S)ARIMA(X) implementation leveraging SIMD
- fully capable AR and AutoAR
- Benchmark methods (Integrated Noise)
- miscellaneous time series utility functions (seasonality identification, stationarity tests)
- stack for some general notes on model stacking
- gpvolatility for an implementation of a funky volatility model
- treecoding for some interesting Trees and Forests (particularly an implementation of 'Autoencoder by Forest')
- nlsolver Nonlinear optimizers as header-only, C++17 library.
I am currently building a lot of things in C++, for fun and profit :)