Hi All,
My objective is to analyse risk from a basket of 2000 time series.
For each time series or group of time serie, I would like to generate
and forecast all possible paths based on a Monte Carlo simulation based
on the probabilistic estimations.
I will be able later to represent the underlying risk for many
simulations.
Can I use an hidden markov chain sklearn.hmm for this exercise ?
Do you have any other ideas of tool that I can use in order to represent
some dynamic behaviour of human being ? any references ?
By advance, thanks for any suggestions.
Best Regards
Didier
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