Alternatives and similar repositories for covShrinkage:

Users that are interested in covShrinkage are comparing it to the libraries listed below

• dhopp1 / nowcastDFM
  Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.
  ☆26Updated last year
• hannes101 / TimeVaryingCointegration
  R Implementation of the Time Varying Cointegration by Bierens and Martins 2010
  ☆10Updated 8 years ago
• bsvars / bsvarSIGNs
  Bayesian SVARs with Sign, Zero, and Narrative Restrictions
  ☆14Updated last month
• GediminasB / bayesVAR_TVP
  R/C++ implementation of Bayes VAR models
  ☆17Updated 5 years ago
• mpfarrho / mf-bavart
  MF-BAVART model introduced in "Nowcasting in a Pandemic using Non-Parametric Mixed Frequency VARs"
  ☆30Updated 5 months ago
• SebKrantz / dfms
  Dynamic Factor Models for R
  ☆32Updated 5 months ago
• patrick-weiss / PortfolioSorts_NSE
  Code for "Methodological Uncertainty in Portfolio Sorts".
  ☆17Updated 9 months ago
• franzmohr / bvartools
  Functions for Bayesian inference of vector autoregressive and vector error correction models
  ☆31Updated 5 months ago
• gregorkastner / stochvol
  Partial re-write of the R package stochvol to allow for asymmetry (leverage).
  ☆15Updated 4 months ago
• franzmohr / bgvars
  Bayesian Inference for Global Vector Autoregressive (GVAR) and Global Vector Error Correction (GVEC) Models
  ☆14Updated last year
• lucabarbaglia / t-VAR
  Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatilit…
  ☆19Updated 4 years ago
• ankargren / mfbvar
  R package for Mixed-Frequency Bayesian VARs
  ☆38Updated 3 years ago
• joergrieger / bvars
  R package for Bayesian Vector Autoregression
  ☆30Updated 4 years ago
• mboeck11 / BGVAR
  Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.
  ☆27Updated 3 months ago
• Reckziegel / Large-TVP-VAR
  Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
  ☆22Updated 7 years ago
• LeopoldoCatania / GAS
  GAS models
  ☆34Updated 3 years ago
• KevinKotze / tsm
  Time Series Modelling
  ☆24Updated 7 months ago
• BayerSe / esback
  Expected Shortfall Backtesting
  ☆12Updated last year
• gabrielrvsc / HDeconometrics
  Set of R functions for high-dimensional econometrics
  ☆31Updated 4 years ago
• bssherwood / rqpen
  Penalized Quantile Regression
  ☆17Updated last month
• alexanderlange53 / svars
  R Package for data driven SVAR identification of impulse response functions
  ☆46Updated 2 years ago
• smeekes / bootUR
  R Package for Bootstrap Unit Root Tests
  ☆10Updated last month
• lcallot / lassovar
  Estimation and forecasting of VAR model with the Lasso
  ☆28Updated last year
• pat-alt / deepvars
  Vector Autoregression augmented with deep learning.
  ☆15Updated last year
• mpfarrho / tvp-network-panel
  TVP panel data model featuring time-varying network dependence introduced in "Bayesian state-space modeling for analyzing heterogeneous n…
  ☆11Updated 3 years ago
• chenyang45 / BoostedHP
  packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"
  ☆12Updated 2 years ago
• JustinMShea / neverhpfilter
  R package recreating econometric methods proposed in "Why You Should Never Use the Hodrick-Prescott Filter" by James Hamilton
  ☆14Updated 2 years ago
• PedroBSB / Caviar
  Conditional Autoregressive Value-at-Risk: all flavors of CAViaR.
  ☆10Updated 7 years ago
• zhan-gao / LasForecast
  Time series forecasting with Lasso-type shrinkage methods
  ☆13Updated 6 months ago