fipelle / replication-pellegrino-2022-hyperparametersLinks
Elastic-net VARMA: hyperparameter optimisation, estimation and forecasting
☆10Updated 2 years ago
Alternatives and similar repositories for replication-pellegrino-2022-hyperparameters
Users that are interested in replication-pellegrino-2022-hyperparameters are comparing it to the libraries listed below
Sorting:
- A package for estimating and regularising correlation and covariance matrices with high frequency financial data☆14Updated 2 months ago
- ☆27Updated 3 weeks ago
- A Julia implementation of basic tools for time series analysis compatible with incomplete data.☆122Updated 7 months ago
- MarSwitching.jl: Julia package for Markov switching dynamic models☆38Updated last year
- ☆39Updated 7 months ago
- A package for time series data processing, classification, clustering, and prediction.☆110Updated 3 months ago
- Simulate stochastic timeseries that follow ARFIMA, ARMA, ARIMA, AR, etc. processes☆55Updated last year
- Julia library for standardizing financial data retrieval and storage from multiple APIs.☆54Updated 5 months ago
- A Julia package for estimating ARMA-GARCH models.☆96Updated last week
- Machine Learning with Time Series in Julia☆27Updated 4 years ago
- ☆35Updated 4 years ago
- ☆13Updated 4 years ago
- A Julia implementation of Bayesian linear regression using marginal likelihood for hyperparameter optimization, as presented in Chris Bis…☆28Updated 3 years ago
- ☆11Updated 2 years ago
- A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.☆112Updated 3 years ago
- Julia package containing utilities intended for Time Series analysis.☆48Updated 2 years ago
- A Julia package for generating timeseries surrogates☆55Updated this week
- ☆33Updated last month
- Data generator based on copulas☆23Updated 2 years ago
- Lightweight robust covariance estimation in Julia☆42Updated 2 weeks ago
- Beta Machine Learning Toolkit☆100Updated 3 weeks ago
- Bayesian Linear Regression in Julia☆30Updated last week
- Basic inference with Hidden Markov Models☆25Updated 7 years ago
- A Julia package for the computation of hard, theoretically guaranteed bounds on the moments of jump-diffusion processes with polynomial d…☆15Updated 3 months ago
- package for Bayesian and classical estimation and inference based on statistics that are filtered through a trained neural net☆23Updated 3 months ago
- ☆54Updated 3 weeks ago
- Symmetric Sweep Operator☆11Updated 11 months ago
- Scrape WELL-FORMED tables from webpages☆30Updated last year
- Comparing performance and results of mcmc options using Julia☆38Updated 3 years ago
- Selected Topics in Mathematical Optimization, now in Julia☆53Updated 3 years ago