GSOC 2025 - New Statespace Models

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Dear PyMC Community,

I am Andrea Catelli, a master’s student in Mathematical Engineering specializing in Quantitative Finance at Politecnico di Milano. Over the past few weeks, I have been exploring the PyMC project and find it highly engaging and well-aligned with my academic background. I have developed a draft of project proposal focused on implementing Dynamic Factor Models within the State-Space framework in PyMC_extras.

I would like to share this draft and a possible initial code implementation, receiving feedback from the community, particularly from Jesse Grabowski, the project mentor. Could you advise me on the best channel to do so?

Thank you for your time and consideration.

Best regards,
Andrea Catelli

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Hi Andrea,

Glad to hear you’re interested! You can share materials here on the forum. Search or GSoC and you will find what others have done in the past.

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Dear Jesse Grabowski,

Thank you for your prompt response.

In this Google Drive folder, you will find a draft of my project proposal report. It is still missing the detailed timeline and some other details, which I will complete in the coming days. The folder also contains my CV and my Transcript of Records.

Additionally, you can find a first draft implementation of Dynamical Factor Models at this link.

I would greatly appreciate any feedback or suggestions you may have.

Thank you in advance for your time and consideration.

Best regards,
Andrea