PyFlux 0.1.5 Release

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Version 0.1.5 of PyFlux has been released on PyPi, including functionality for:

New Models

  • VAR models – see here for a demonstration
  • Exponential GAS models

New Inference Methods

  • Black Box Variational Inference (BBVI) – see here for a demonstration

Bug/Fixes/Improvements

  • ARMA/GAS models sped up
  • More OOP -> models now inherit from TSM class
  • plot_fit() now available for all models

The next version will again focus on new models; I’m looking to get Gaussian Process based regressions in the next update. After that I will focus more on fine-tuning the implementation, as I want to get the likelihood calls sped up significantly (especially for VARs).

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