Subject
2 entries
Stochastic Processes
Bookmarks
Stochastic Processes and Simulations: An ML Perspective
Stochastic Processes and Simulations: A Machine Learning Perspective by Vincent Granville — covers point processes, Poisson-binomial processes, GPU clustering, and extreme value theory with Python code. Bridges probability theory and ML's simulation-heavy approach to uncertainty.
Stochastic Volatility Modeling with PyMC
PyMC example notebook demonstrating stochastic volatility modeling — Bayesian inference for time-varying financial volatility using NUTS sampling. A showcase of what probabilistic programming makes tractable.