convexfi / fitHeavyTailLinks
Mean and Covariance Matrix Estimation under Heavy Tails
☆22Updated 2 years ago
Alternatives and similar repositories for fitHeavyTail
Users that are interested in fitHeavyTail are comparing it to the libraries listed below
Sorting:
- Imputation of Financial Time Series with Missing Values and/or Outliers☆25Updated 4 years ago
- Bayesian online change point detection and offline learning☆57Updated 5 years ago
- Covariance Matrix Estimation via Factor Models☆36Updated 6 years ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- Functions for the construction of risk-based portfolios☆53Updated 4 years ago
- ☆14Updated 6 years ago
- Bayesian Hierarchical Hidden Markov Models applied to financial time series, a research replication project for Google Summer of Code 201…☆120Updated 6 years ago
- Large Deviations for volatility options☆13Updated 6 years ago
- R package for high frequency time series data management☆64Updated 5 months ago
- State Space Estimation of Time Series Models in Python: Statsmodels☆44Updated 8 years ago
- Supporting data package for the Portfolio Optimization Book☆26Updated 8 months ago
- Automated Backtesting of Portfolios over Multiple Datasets☆67Updated 3 years ago
- R package for inference on the Sharpe ratio.☆20Updated 10 months ago
- A package for Shrinkage Estimation of Covariance Matrices☆29Updated last year
- Code and examples for the project on risk-constrained Kelly gambling☆28Updated 5 years ago
- Design of Risk Parity Portfolios☆116Updated 2 years ago
- Source code and data for the tutorial: "Getting started with particle Metropolis-Hastings for inference in nonlinear models"☆28Updated 6 years ago
- GAS models☆35Updated 4 years ago
- Markov Switching Models for Statsmodels☆24Updated 9 years ago
- Nonlinear Nonparametric Statistics☆93Updated 2 weeks ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 6 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆44Updated 4 years ago
- ☆67Updated 4 months ago
- R Finance packages not listed in the Empirical Finance Task View☆13Updated 2 weeks ago
- Probability of Backtest Overfitting☆48Updated 3 years ago
- Necessary code to reproduce the experiment in "Mitigating Overfitting with Generative Adversarial Networks"☆37Updated 2 years ago
- Python code for Bayesian Conditional Cointegration☆18Updated 8 years ago
- Functions, examples and data from the first and the second edition of "Numerical Methods and Optimization in Finance" by M. Gilli, D. Mar…☆38Updated last week
- ☆20Updated 8 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 7 years ago