Time Series Blog – Time Series Models

Benchmarking ICA algorithms

statistics

tsmarch

Benchmarking the ICA algorithms in the tsmarch package.

Alexios Galanos

Messy Data and Anomaly Detection

prediction

outliers

tsaux

Detecting and removing anomalies in times series data.

Alexios Galanos

Casting a Wide Net: Ensembling of Predictions

prediction

ensembling

tsissm

A short demonstration of ensembling predictive distributions.

Alexios Galanos

Tails of the GHST

distributions

tsdistributions

We take a closer look at the properties of the GHST distribution which uniquely, in the family of Generalized Hyperbolic distributions, can accomodate one heavy and one semi-heavy tail.

Alexios Galanos

Know Your Limits: The Authorized Domain

distributions

tsdistributions

A short demo on generating the authorized domain of a distribution.

Alexios Galanos