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СпутникиРНSpaceXРоскосмосNASA hi Jesse,
Makes sense, indeed, fixing code internals vs understanding the pain points of model building are two entirely different things, and a power-user is probably the only way to go.
I’m really keen about finance and I love backtesting and implementing algorithmic trading strategies and research papers. Interestingly, I tried to take an applied approach recently while Ethan did his ADVI Trainer for streaming (PR #8333). For the sake of stress-testing his out-of-core pipeline on non-stationary data, I made a regime-switching volatility benchmark notebook (2-state HMM on 100k equity-style returns). It turned out to be a good exercise that showed the limitations of mean-field ADVI on temporal structures.
Taking your advice, I would like to spend some time being a better user of PyMC and building new notebooks that utilizes pymc-extras.statespace in connection with trading concepts, like a Kalman filter-based pairs trading strategy or time-varying beta.
Since my goal is to thoroughly prepare for the upcoming GSoC session (specifically under State Space Models project), are there any specific papers or resources on state-space models applied to econometrics/finance that you’d recommend I read?
I’d love to spend the next few months studying the underlying math and building applied notebooks. I plan to share the models I build here on Discourse to get your critiques and feedback as I learn, so I can eventually contribute more meaningfully.
| # | Наименование новости | Тональность | Информативность | Дата публикации |
|---|---|---|---|---|
| 1 | 🚀 Release pymc-extras v0.15.1 | 0 | 19.63 | 16-09-2026 |
| 2 | New contributor looking for guidance: from issue fixes to sustained PyMC contributions | 0 | 10.39 | 12-09-2026 |
| 3 | What's the best way to fit a statespace model to multiple time series | 0 | 4.76 | 11-09-2026 |
| 4 | 🚀 Release pymc-extras v0.15.0 | 0 | 19.63 | 11-09-2026 |
| 5 | 🚀 Release v6.3.2 | 0 | 18.52 | 08-09-2026 |
| 6 | Proposal / feedback: topology-aware posterior predictive and simulator summaries | 0 | 11.43 | 04-10-2026 |
| 7 | Introduction & GSoC 2027 Interest — PR #8434 (CAR distribution batch support) | 0 | 10.65 | 16-09-2026 |
| 8 | Sampling PyMC models in JupyterLite with a WebAssembly backend for PyTensor | 0 | 6.38 | 28-09-2026 |
| 9 | Did state-space models change the way they handle time-varying matrices? | 0 | 21.76 | 30-09-2026 |
| 10 | Setting and justifying priors for a discrete "what went wrong" model when I have no labeled data | 0 | 11.32 | 03-09-2026 |