Time Series Modeling via JuMP - Optimization for SARIMA, Score Driven, and State Space Models

Explore the application of JuMP, a powerful optimization modeling language, to time series modeling in this 15-minute talk. Delve into three distinct models—SARIMAX.jl, StructuralScoreDrivenModels.jl, and StateSpaceLearning.jl—and discover how they leverage optimization capabilities for SARIMA, Score Driven Models, and State Space Models. Learn about the advantages of JuMP-based time series modeling over traditional statistical packages, and examine numerical experiments that demonstrate significant performance improvements compared to conventional benchmarks.