compops / gpo-smc-abc
Bayesian optimisation for fast approximate inference in state-space models with intractable likelihoods
☆12Updated 7 years ago
Alternatives and similar repositories for gpo-smc-abc:
Users that are interested in gpo-smc-abc are comparing it to the libraries listed below
- Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"☆28Updated 5 years ago
- Mean and Covariance Matrix Estimation under Heavy Tails☆22Updated last year
- R Code to accompany "A Note on Efficient Fitting of Stochastic Volatility Models"☆13Updated 2 years ago
- ☆14Updated 5 years ago
- Collected code and materials from the intensive course preparing for the workshop on Sequential Monte Carlo (SMC) methods at Uppsala Univ…☆21Updated 6 years ago
- Programs for Optimal Transport Methods in Economics☆32Updated 5 years ago
- python app for doing personalized causal medicine using the methods invented by Judea Pearl et al.☆24Updated 2 years ago
- Markov Switching Models for Statsmodels☆22Updated 8 years ago
- Large Deviations for volatility options☆11Updated 5 years ago
- R package for inference on the Sharpe ratio.☆19Updated 2 months ago
- ☆18Updated 4 years ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 6 years ago
- Prototype code for paper: Adversarial Generalized Method of Moments, Greg Lewis and Vasilis Syrgkanis☆12Updated 4 years ago
- Source repository for the online book Exploratory Analysis of Bayesian Models.☆18Updated last week
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆14Updated 2 years ago
- Code for Vector Quantile Regression (Carlier, Chernozhukov, Galichon, Annals of Statistics, 2016)☆16Updated 3 years ago
- R code for ''Bayesian method for causal inference in spatially-correlated multivariate time series''☆45Updated 4 years ago
- Kernels, the machine learning ones☆14Updated last year
- Covariance Matrix Estimation via Factor Models☆33Updated 5 years ago
- Full Bayesian Inference for Hidden Markov Models☆41Updated 6 years ago
- Empirical comparison of penalized linear regression in high-dimensional settings☆12Updated 5 years ago
- Finance 6470: Derivatives Markets☆11Updated 3 years ago
- ☆39Updated 6 years ago
- ☆16Updated 11 years ago
- GAS models☆34Updated 3 years ago
- Code for AutoGP☆26Updated 5 years ago
- A system for Bayesian estimation of state space models using PyMC☆34Updated last year
- ☆31Updated 8 years ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆43Updated 8 years ago
- Yield Curve Modeling Using Dynamic Gaussian Processes☆16Updated 2 years ago