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@JulienRoussel77 JulienRoussel77 released this 12 Oct 09:57
· 201 commits to main since this release
  • VAR(p) EM sampler implemented, founding on a VAR(p) modelization such as the one described in Lütkepohl (2005) New Introduction to Multiple Time Series Analysis
  • EM and RPCA matrices transposed in the low-level impelmentation, however the API remains unchanged
  • Sparse matrices introduced in the RPCA implementation so as to speed up the execution
  • Implementation of SoftImpute, which provides a fast but less robust alterantive to RPCA
  • Implementation of TabDDPM and TsDDPM, which are diffusion-based models for tabular data and time-series data, based on Denoising Diffusion Probabilistic Models. Their implementations follow the work of Tashiro et al., (2021) and Kotelnikov et al., (2023).
  • ImputerDiffusion is an imputer-wrapper of these two models TabDDPM and TsDDPM.
  • Docstrings and tests improved for the EM sampler
  • Fix ImputerPytorch
  • Update Benchmark Deep Learning