Pythia.jl

Machine learning time series regressions
Popularity
7 Stars
Updated Last
2 Years Ago
Started In
January 2021

Pythia.jl

Machine learning time series regressions in Julia.

Currently the pacakage supports LASSO, group LASSO, and sparse group LASSO solved via proximal gradient descent.

The sparse group LASSO will be used for mixed frequency data regressions after applying suitable transformations with Legendre polynomials.