ChadFulton / pymar
Markov Switching Models for Statsmodels
☆22Updated 8 years ago
Alternatives and similar repositories for pymar:
Users that are interested in pymar are comparing it to the libraries listed below
- State Space Estimation of Time Series Models in Python: Statsmodels☆43Updated 8 years ago
- Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"☆28Updated 5 years ago
- Bayesian online change point detection and offline learning☆57Updated 5 years ago
- Lasso Quantile Regression☆31Updated 5 years ago
- ☆18Updated 4 years ago
- Python Copula Module☆42Updated 2 years ago
- A Python library implementing Bayesian methods for solving estimation and forecasting problems in time series analysis☆21Updated 7 years ago
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- A collection of resources for quantitative economics in Python☆13Updated 8 years ago
- Implementation of Hidden Markov Models in pymc3☆60Updated 8 years ago
- ☆14Updated 5 years ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 6 years ago
- Generating time series from a range of dynamical systems☆17Updated 2 years ago
- ☆32Updated 6 years ago
- Information Theoretic Tools for Python☆91Updated 5 years ago
- Basic time series modeling with Stan and Pystan☆33Updated 7 years ago
- Three Pass Regression Filter for R☆15Updated 9 years ago
- Bayesian Hierarchical Hidden Markov Models applied to financial time series, a research replication project for Google Summer of Code 201…☆118Updated 6 years ago
- The lite version of the package pydlm. A lite yet powerful Bayesian dynamic modeling library☆12Updated 6 years ago
- GAS models☆34Updated 3 years ago
- R code for ''Bayesian method for causal inference in spatially-correlated multivariate time series''☆45Updated 4 years ago
- Deep Continuous Quantile Regression and other experiments.☆13Updated 5 years ago
- An implementation of Adams & MacKay 2007 "Bayesian Online Changepoint Detection"☆31Updated 10 years ago
- L1 Trend Filtering☆19Updated 10 months ago
- Statistical inference on machine learning or general non-parametric models☆44Updated 10 months ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated last year
- R package for inference on the Sharpe ratio.☆19Updated 2 months ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆27Updated 4 years ago
- mgarch Package for R-Project☆15Updated 10 years ago