gerdm / weighted-likelihood-filterLinks
Code for the paper "Outlier-robust Kalman Filtering through Generalised Bayes" presented at ICML 2024
☆68Updated last year
Alternatives and similar repositories for weighted-likelihood-filter
Users that are interested in weighted-likelihood-filter are comparing it to the libraries listed below
Sorting:
- ☆68Updated last month
- Python library for multivariate dependence modeling with Copulas☆112Updated last year
- Implements Path Shadowing Monte Carlo (PSMC).☆73Updated 6 months ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆14Updated 9 months ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 8 months ago
- Replication codes for Deep Learning Credit Risk Modeling by Manzo, Qiao☆21Updated 3 years ago
- ☆28Updated last month
- Tool to support backtests☆45Updated 3 weeks ago
- Maximum Likelihood estimation and Simulation for Stochastic Differential Equations (Diffusions)☆53Updated 6 months ago
- Minimal entropic value at risk (EVaR) portfolio construction under a Gaussian mixture model of returns.☆21Updated last year
- Python modules and jupyter notebook examples for the paper Arbitrage-free Neural-SDE Market Models.☆50Updated 2 years ago
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆43Updated 3 years ago
- ☆20Updated 7 months ago
- ☆20Updated 10 months ago
- tsbootstrap: generate bootstrapped time series samples in Python☆79Updated last week
- ☆19Updated 7 years ago
- ☆27Updated 2 weeks ago
- Design of High-Order Portfolios via Mean, Variance, Skewness, and Kurtosis☆25Updated 2 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Updated last year
- Entropy Pooling in Python with a BSD 3-Clause license.☆39Updated 9 months ago
- Democratizing Index Tracking for Small Investors in Europe: A Meta-Learning Method for Sparse Portfolio Optimization☆81Updated 2 years ago
- esig python package☆48Updated 7 months ago
- Repository attached to the paper with the same name.☆21Updated 4 years ago
- Source code for Deep Partial Least Squares for Empirical Asset Pricing.☆15Updated 3 years ago
- ☆49Updated 7 months ago
- Market simulator☆60Updated 4 years ago
- ☆15Updated last week
- Statistical Jump Models in Python, with scikit-learn-style APIs☆79Updated 6 months ago
- Multivariate Volatility Models (ARCH) for stock prices and other time series☆19Updated 10 months ago
- Code to accompany the paper "Fin-GAN: Forecasting and Classifying Financial Time Series via Generative Adversarial Networks"☆119Updated last year