From Pyro to NumPyro: Forecasting a univariate, heavy tailed time series

In this notebooks we port the Pyro forecasting example Forecasting I: univariate, heavy tailed to NumPyro . The forecasting module in Pyro is fantastic as it provides an easy interface to develop custom forecasting models. It has also many helpful utility functions to generate features and for model evaluation. The purpose of this translation is to dig deeper into the some forecasting components…