fipelle / replication-pellegrino-2022-hyperparametersLinks
Elastic-net VARMA: hyperparameter optimisation, estimation and forecasting
☆11Updated 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 4 months ago
- ☆26Updated 2 weeks ago
- A Julia implementation of basic tools for time series analysis compatible with incomplete data.☆124Updated 8 months ago
- Simulate stochastic timeseries that follow ARFIMA, ARMA, ARIMA, AR, etc. processes☆55Updated 2 years ago
- ☆35Updated 4 years ago
- A package for time series data processing, classification, clustering, and prediction.☆109Updated 3 weeks ago
- MarSwitching.jl: Julia package for Markov switching dynamic models☆38Updated last year
- ☆32Updated 2 months ago
- A Julia implementation of Bayesian linear regression using marginal likelihood for hyperparameter optimization, as presented in Chris Bis…☆28Updated 3 years ago
- ☆13Updated 4 years ago
- Julia library for standardizing financial data retrieval and storage from multiple APIs.☆54Updated 6 months ago
- A Julia package for generating timeseries surrogates☆55Updated last month
- Comparing performance and results of mcmc options using Julia☆38Updated 4 years ago
- Generalized Linear Regressions Models (penalized regressions, robust regressions, ...)☆83Updated 4 months ago
- A Julia package for estimating ARMA-GARCH models.☆99Updated last month
- A set of functions in pure Julia for Game Theory☆11Updated 2 years ago
- Machine Learning with Time Series in Julia☆27Updated 4 years ago
- A Julia package for the computation of hard, theoretically guaranteed bounds on the moments of jump-diffusion processes with polynomial d…☆15Updated 4 months ago
- Sequential Monte Carlo algorithm for approximation of posterior distributions.☆74Updated 5 months ago
- Julia package containing utilities intended for Time Series analysis.☆49Updated 3 years ago
- Data generator based on copulas☆23Updated 2 years ago
- Taking causal inference to the extreme!☆31Updated 9 months ago
- ☆10Updated 2 years ago
- JuliaInXL C# code to create JuliaInXL plugin for Microsoft Excel☆25Updated 2 years ago
- A statistical toolbox for diffusion processes and stochastic differential equations. Named after the Brownian Bridge.☆112Updated 3 years ago
- Implementation of a Partial Least Squares Regressor☆41Updated 2 years ago
- ☆53Updated 3 weeks ago
- Robust implementation for random-walk Metropolis-Hastings algorithms☆116Updated last month
- ☆38Updated 8 months ago
- Symmetric Sweep Operator☆11Updated last year