Alternatives and similar repositories for scikit-rmt

Users that are interested in scikit-rmt are comparing it to the libraries listed below

• msabvid / robust_nsde
  Robust pricing and hedging via Neural SDEs
  ☆37Updated 4 years ago
• pafoster / path_signatures_introduction
  A Brief Introduction to Path Signatures for Machine Learning Practitioners
  ☆54Updated 4 years ago
• datasig-ac-uk / esig
  esig python package
  ☆48Updated 8 months ago
• asnelt / mixedvines
  Python package for canonical vine copula trees with mixed continuous and discrete marginals
  ☆47Updated last year
• SigCGANs / Sig-Wasserstein-GANs
  ☆27Updated 2 years ago
• bottler / iisignature
  Iterated integral signature calculations
  ☆108Updated 3 months ago
• tgcsaba / GPSig
  Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances
  ☆47Updated 2 years ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆54Updated last month
• anh-tong / signax
  Signax: Signature computation in JAX
  ☆35Updated 7 months ago
• datasig-ac-uk / signature_applications
  Example applications of path signatures
  ☆41Updated 5 months ago
• patrick-kidger / Deep-Signature-Transforms
  Code for "Deep Signature Transforms" (NeurIPS 2019)
  ☆97Updated last year
• g-benton / Volt
  Public Implementation of Volatility Based Kernels and Moving Average Means for Accurate Forecasting with Gaussian Processes
  ☆49Updated 3 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆53Updated 2 years ago
• saadlabyad / aslsd
  Parametric estimation of multivariate Hawkes processes with general kernels.
  ☆14Updated last year
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 4 years ago
• msabvid / Deep-PPDE
  Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options
  ☆35Updated 3 years ago
• BorealisAI / continuous-time-flow-process
  PyTorch code of "Modeling Continuous Stochastic Processes with Dynamic Normalizing Flows" (NeurIPS 2020)
  ☆48Updated 4 years ago
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆58Updated 3 years ago
• gerdm / bayes
  Neat Bayesian machine learning examples
  ☆58Updated 2 months ago
• patrick-kidger / signatory
  Differentiable computations of the signature and logsignature transforms, on both CPU and GPU. (ICLR 2021)
  ☆283Updated last year
• anfelopera / lineqGPR
  Gaussian processes regression models with linear inequality constraints
  ☆15Updated last year
• cvxgrp / covpred
  Covariance prediction via convex optimization
  ☆21Updated 4 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆15Updated 11 months ago
• fmorenopino / HeterogeneousHMM
  Discrete, Gaussian, and Heterogenous HMM models full implemented in Python. Missing data, Model Selection Criteria (AIC/BIC), and Semi-Su…
  ☆80Updated last year
• sebjai / robust-risk-aware-rl
  Some implementations from the paper robust risk aware reinforcement learning
  ☆36Updated 3 years ago
• cvxgrp / cov_pred_finance
  ☆67Updated 3 months ago
• RudyMorel / scattering_spectra
  Scattering Spectra used for the analysis and generation of time-series
  ☆39Updated 8 months ago
• kormilitzin / the-signature-method-in-machine-learning
  Foundations and Applications
  ☆100Updated 5 years ago
• crispitagorico / sigkernel
  Differentiable computations for the signature-PDE-kernel on CPU and GPU.
  ☆56Updated last year
• pald22 / covShrinkage
  A package for Shrinkage Estimation of Covariance Matrices
  ☆29Updated last year