Autoregressive Forecasting in PyMC

Abstract

Implementing Autoregressive Structural forecasting models in PyMC

Autoregressive Forecasting in PyMC

This project stemmed from a gap in the PyMC documentation around how to use a fitted auto-regressive model to make forecasts about the future state of the world. In this project I demonstrate how fit and make predictictions with bayesian structural timeseries models.

The project culminated in a publication to the official PyMC documentation that can be found online here or downloaded as notebook here

The notebook demonstates these techniques applied to a series of fake data building in complexity as we add more structure.

Forecasting