Notes on an ARMA(1, 1) Model with NumPyro

This page cannot be shown here. You can still read it on the original site — the toolbar below keeps your place in the directory.

This are some notes on how to implement an ARMA(1, 1) model using NumPyro for time series forecasting. The ARMA(1, 1) model is given by 
 \[y_t = \mu + \phi y_{t-1} + \theta \varepsilon_{t-1} + \varepsilon_t\] 
 where \(y_t\) is the time series, \(\mu\) is the mean, \(\phi\) is the autoregressive parameter, \(\theta\) is the moving average parameter, and \(\varepsilon_t\) is a white noise…

Read on /arma_numpyro/ ↗