Getting started with rolling co-variance matrix estimate?

newquant · November 20, 2018, 4:22pm

This is what I have going at the moment

gist.github.com

https://gist.github.com/newquant1/28277edc6713cc92ff9e01e751ac1c3b

bayes_covar.py

import pymc3 as pm
import os
import pandas as pd
import numpy as np
from theano import theano, scalar, tensor as tt
from tqdm import tqdm

def _expand_chol(n, var, od):

    sq = [[0.]*n for _ in range(n)]

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Getting started with rolling co-variance matrix estimate?

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