Pyro M5 Starter Kit

This repo aims to help you learn the Pyro probabilistic programming language through the M5 forecasting competition.

Documentation resources

• Pyro reference docs
  • Installation
  • Forecasting
  • Distributions
  • Reparameterizers
  • Time series
• Pyro tutorials
• Pyro forum <---- ask questions here
• PyTorch reference docs
• M5 competition overview
• M5 exploratory data analysis notebook (thanks to Martin Henze)

I'd recommend starting with the following sequence of Pyro tutorials. These build up to Forecasting III's Model2 which is very close to the M5 forecasting problem.

1. Pyro models recommended
2. Pyro inference
3. Stochastic variational inference I
4. Stochastic variational inference II recommended
5. Stochastic variational inference III
6. Tensor Shapes recommended
7. Forecasting I: univariate, heavy tailed recommended
8. Forecasting II: state space models
9. Forecasting III: hierarchical models recommended

Contributions welcome!

We believe in friendly competition that builds on collaboration.