Alternatives and similar repositories for weighted-likelihood-filter:

Users that are interested in weighted-likelihood-filter are comparing it to the libraries listed below

• cvxgrp / exp_util_gm_portfolio_opt
  Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.
  ☆20Updated 10 months ago
• cvxgrp / cov_pred_finance
  ☆63Updated last month
• sdepy / sdepy
  SdePy: Numerical Integration of Ito Stochastic Differential Equations
  ☆43Updated 3 years ago
• justinhou95 / NeuralHedge
  Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization
  ☆13Updated 6 months ago
• cvxgrp / cvxmarkowitz
  ☆26Updated last month
• cvxgrp / cvxrisk
  Compile risk with cvxpy
  ☆13Updated this week
• pafoster / path_signatures_introduction
  A Brief Introduction to Path Signatures for Machine Learning Practitioners
  ☆48Updated 3 years ago
• LRydin / jumpdiff
  JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python
  ☆44Updated 2 years ago
• datasig-ac-uk / esig
  esig python package
  ☆47Updated 3 months ago
• gmanzog / DeepLearningCreditRiskModeling
  Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao
  ☆21Updated 2 years ago
• maltamiranomontero / DSM-bocd
  ☆16Updated last year
• KalmanNet / KalmanBOT_ICASSP23
  DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS
  ☆34Updated 2 years ago
• vicaws / neuralSDE-marketmodel
  Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.
  ☆49Updated 2 years ago
• SaremS / sample_notebooks
  Loose collection of Jupyter notebooks, mostly for my blog
  ☆28Updated 4 months ago
• RudyMorel / shadowing
  Implements Path Shadowing Monte Carlo (PSMC).
  ☆69Updated 3 months ago
• jkirkby3 / pymle
  Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)
  ☆48Updated 2 months ago
• harrisp / GPyConform
  ☆48Updated 3 months ago
• mawicks / mvarch
  Multivariate Volatility Models (ARCH) for stock prices and other time series
  ☆18Updated 6 months ago
• cvxgrp / auto_ks
  Repository for "Fitting a Kalman Smoother to Data"
  ☆57Updated last year
• jack-tobin / mvgarch
  Multivariate GARCH modelling in Python
  ☆16Updated 4 months ago
• tingiskhan / pyfilter
  Particle filtering and sequential parameter inference in Python
  ☆79Updated last year
• GGiecold / pyRMT
  Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization
  ☆54Updated 2 years ago
• zgbkdlm / tme
  Taylor moment expansion in Python (JaX and SymPy) and Matlab
  ☆11Updated 3 months ago
• maximenc / pycop
  Python library for multivariate dependence modeling with Copulas
  ☆108Updated 9 months ago
• cvxgrp / cptopt
  Portfolio Optimization with Cumulative Prospect Theory Utility via Convex Optimization
  ☆33Updated 10 months ago
• zgbkdlm / ssdgp
  State-space deep Gaussian processes in Python and Matlab
  ☆29Updated 2 years ago
• strongio / torchcast
  Forecasting with PyTorch
  ☆54Updated last week
• SigCGANs / Sig-Wasserstein-GANs
  ☆26Updated last year
• vincentblot28 / conformalized_gp
  ☆47Updated 2 months ago
• imanolperez / market_simulator
  Market simulator
  ☆60Updated 4 years ago