RudyMorel / scattering_spectraLinks
Scattering Spectra used for the analysis and generation of time-series
☆41Updated last year
Alternatives and similar repositories for scattering_spectra
Users that are interested in scattering_spectra are comparing it to the libraries listed below
Sorting:
- Iterated integral signature calculations☆114Updated 2 months ago
- Python implementation of fractional brownian motion☆65Updated 5 years ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆56Updated 5 months ago
- esig python package☆50Updated last year
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 4 years ago
- ☆70Updated 7 months ago
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆56Updated 3 years ago
- ☆30Updated 2 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- A package for Shrinkage Estimation of Covariance Matrices☆31Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆86Updated last year
- Robust pricing and hedging via Neural SDEs☆37Updated 4 years ago
- Solving high-dimensional Partial Differential Equations with Deep Learning☆27Updated 6 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆49Updated 2 years ago
- Signax: Signature computation in JAX☆37Updated 11 months ago
- Deep Learning methods to solve path-dependent PDEs / to price path-dependent derivatives like exotic options☆36Updated 3 years ago
- A Brief Introduction to Path Signatures for Machine Learning Practitioners☆56Updated 4 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14Updated last year
- Random Matrix Theory library - RMT analysis and simulation in Python☆53Updated 2 months ago
- Code accompanying the paper "Non-adversarial training of Neural SDEs with signature kernel scores".☆22Updated last year
- Market simulator☆61Updated 5 years ago
- ☆21Updated 7 years ago
- Fractional Brownian Motion package☆11Updated 3 years ago
- Black-Box Inference foR Differentiable Simulators☆21Updated last year
- Toolbox for working with streaming data as rough paths in Python☆44Updated this week
- A Python library for vine copula models☆119Updated last month
- Code for the paper "Outlier-robust Kalman Filtering through Generalised Bayes" presented at ICML 2024☆71Updated 3 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆61Updated 3 years ago
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆49Updated 2 years ago
- Finding the conditional distributions of a Gaussian Mixture Model☆13Updated 6 years ago