Publications by T. Moudiki
10 uncertainty quantification methods in nnetsauce forecasting
This week, I released (Python) version 0.22.4 of nnetsauce. nnetsauce now contains 10 uncertainty quantification methods for time series forecasting:gaussian: simple, fast, but: assumes stationarity of Gaussian in-sample residuals and independence in the multivariate casekde: based on Kernel Density Estimation of in-sample residualsbootstrap: based...
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Forecasting with XGBoost embedded in Quasi-Randomized Neural Networks
Next week, I’ll present nnetsauce’s (univariate and multivariate probabilistic) time series forecasting capabilities at the 44th International Symposium on Forecasting (ISF) (ISF) 2024. ISF is the premier forecasting conference, attracting the world’s leading forecasting (I don’t only do forecasting though) researchers, practitioners, and ...
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Forecasting Monthly Airline Passenger Numbers with Quasi-Randomized Neural Networks
This post is about forecasting airline passenger numbers with quasi-randomized neural networks, and most specifically using nnetsauce’s class MTS. MTS stands for ‘Multivariate Time Series’, but MTS can also be used for univariate time series as shown in this post.The data used here is the famous AirPassengers dataset, a time series of monthly...
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Automated hyperparameter tuning using any conformalized surrogate
Bayesian optimization(BO) is widely used for Machine Learning hyperparameter tuning. BO relies mainly on a probabilistic model of the objective function (generally a Gaussian process model that approximates the objective function) called the surrogate and improved sequentially, and an acquisition function that allows to select the next point to eva...
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Recognizing handwritten digits with Ridge2Classifier
This post is about Ridge2Classifier, a classifier that I presented 5 years ago in this document. It’s now possible to choose starting values of the (likelihood) optimization algorithm which are solutions from least squares regression. Not always better, but can be seen as a new hyperparameter. Also, Ridge2Classifier used to fail miserably on digi...
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Forecasting the Economy
Keep in mind that there’s no hyperparameter tuning in these examples. Hyperparameter tuning must be used in practice. Looking for reticulate and rpy2 experts to discuss speedups for this R package (port from the stable Python version) installation and loading. There’s still room for improvement in this R port, especially in terms of data struct...
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A detailed introduction to Deep Quasi-Randomized ‘neural’ networks
A few weeks ago in #112 and #120, I presented a few Python examples of Deep Quasi-Randomized ‘neural’ networks (QRNs). In this post, I will provide a detailed introduction to this new family of models, with examples in Python and R, and a preprint.Link to the preprintLink to a Jupyter Python notebook with a benchmark on 14 data sets: https://g...
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Probability of having a credit; using learningmachine
In this post, I examine a data set available in the UCI Machine Learning repository: German Credit. This data set contains characteristics of 1000 bank clients, explanatory variables, and a variable indicating whether the client has good or bad chances of obtaining a credit.We will use Machine Learning models available in R package learningmachine....
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Probability of having a credit; using learningmachine
In this post, I examine a data set available in the UCI Machine Learning repository: German Credit. This data set contains characteristics of 1000 bank clients, explanatory variables, and a variable indicating whether the client has good or bad chances of obtaining a credit. We will use Machine Learning models available in R package learningmachine...
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mlsauce’s `v0.18.2`: various examples and benchmarks with dimension reduction
This week’s post is about mlsauce (again), and LSBoost in particular. No new working paper (still working on it), but:An updated R version, working at least on Linux and macOS (Windows users, if not working on your machine, give a try to the Windows Subsystem for Linux, WSL)A new updated documentation pageMy first StackOverflow question ever (sti...
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