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sgdlm

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pablo-reyes8 / bayesian-sgdlm

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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 31, 2025
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