dynamic-linear-model

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pablo-reyes8 / bayesian-sgdlm

bayesian-sgdlm is a Python script for fully Bayesian SGDLMs, treating each node as a VAR( 𝑝) DLM. It leverages decouple–recouple filtering with Variational Bayes and importance sampling to estimate sparse, time-varying cross-lag dependencies (including pandemic dummies) without ever inverting the full multivariate system.

reproducible-research variational-bayes importance-sampling dynamic-linear-model financial-econometrics state-space-model multivariate-time-series bayesian-time-series sgdlm sequential-forecasting

Updated Aug 10, 2026
Python

Simo-dg / Inflation-forecasting

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Inflation forecasting during crisis periods using Bayesian Dynamic Linear Models, traditional econometrics, and machine learning. Includes data, code, and comprehensive analysis report.

machine-learning time-series bayesian-inference inflation dynamic-linear-model inflation-forecasting bayesian-modeling

Updated Jul 1, 2025
Python

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