RudyMorel / scattering_spectra
Scattering Spectra used for the analysis and generation of time-series
☆34Updated 4 months ago
Alternatives and similar repositories for scattering_spectra:
Users that are interested in scattering_spectra are comparing it to the libraries listed below
- esig python package☆48Updated 4 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 7 months ago
- Self-tuning HMC algorithms and evaluations☆18Updated 6 months ago
- Black-Box Inference foR Differentiable Simulators☆17Updated 5 months ago
- Random Matrix Theory library - RMT analysis and simulation in Python☆48Updated last year
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆48Updated 3 years ago
- Robust pricing and hedging via Neural SDEs☆33Updated 3 years ago
- Iterated integral signature calculations☆104Updated 5 months ago
- Robust initialisation of inducing points in sparse variational GP regression models.☆33Updated 2 years ago
- A package for Shrinkage Estimation of Covariance Matrices☆25Updated 10 months ago
- Bayesian Learning from Sequential Data using Gaussian Processes with Signature Covariances☆47Updated last year
- ☆26Updated last year
- Lightweight library of stochastic gradient MCMC algorithms written in JAX.☆103Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆69Updated 4 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆50Updated 2 years ago
- Signax: Signature computation in JAX☆28Updated 2 months ago
- We implement RSQE and HQE simulation schemes from the paper Efficient simulation of affine forward volatility models.☆14Updated 2 years ago
- Advanced LTCC course in StatisticsThis course will provide an overview of Monte Carlo methods when used for problems in Statistics. After…☆26Updated 2 years ago
- A Tensorflow based library for Time Series Modelling with Gaussian Processes☆30Updated 9 months ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆48Updated 3 months ago
- Differentiable computations for the signature-PDE-kernel on CPU and GPU.☆54Updated 11 months ago
- Neat Bayesian machine learning examples☆55Updated 3 months ago
- Light-weighted code for Orthogonal Additive Gaussian Processes☆42Updated 8 months ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆47Updated last year
- Chirp instantaneous frequency estimation using stochastic differential equation Gaussian processes☆12Updated 5 months ago
- ☆19Updated 6 years ago
- Price options analytically given stock price characteristic function☆16Updated 9 years ago
- A Python library for vine copula models☆100Updated 2 weeks ago
- ☆63Updated 2 months ago
- Toolbox for working with streaming data as rough paths in Python☆36Updated last week