numpyro

JAX with JIT and custom differentiation Question: I am working with JAX through numpyro. Specially, I want to use a B-spline function (e.g. implemented in scipy.interpolate.BSpline) to transform different points into a spline where the input depends on some of the parameters in the model. Thus, I need to be able to differentiate the B-spline …

GARCH models in Numpyro Question: I was curious how best to implement GARCH models in numpyro. I tried reading https://num.pyro.ai/en/stable/tutorials/time_series_forecasting.html but found it generally unclear (the model notation and variable names are not easy to map, the model is overly complicated for a basic intro) I wrote the following code to estimate a GARCH-M model, …