ProbabilisticForecasting

Description

Project for Stanfords Stats 271, Applied Bayesian Statistics. Implements a Variational Autoregressive LSTM with Probabilistic Layers for forecasting Cryptocurrency trade volume. Uses different Tensorflow Probability layers as Likelihood Models for the data.

Getting Started

• LstmRnn.py - Tensorflow Model
• WindowGenerator.py - Data loader for LstmRnn.py
• layers.py - Tensorflow Probability Likelihood models and aux. Keras layers
• main.py - script to invoke model
• demo_notebook.ipynb - main.py in notebook form

Authors

• jakee417
• koalateectrl

Acknowledgments

Inspiration, code snippets, etc.

• TensorFlow Time Series
• Time2Vec
• Variational Auto Encoder