jmetzen / kernel_regression
Implementation of Nadaraya-Watson kernel regression with automatic bandwidth selection compatible with sklearn.
☆81Updated 8 years ago
Related projects ⓘ
Alternatives and complementary repositories for kernel_regression
- Implementations of the graphical lasso method to estimation of covariance matrices in finance.☆37Updated 12 years ago
- L1 Trend Filtering☆19Updated 7 months ago
- Python Copula Module☆43Updated last year
- Calculates the generalized Hurst exponent of a time series☆40Updated 11 months ago
- A unique time series library in Python that consists of Kalman filters (discrete, extended, and unscented), online ARIMA, and time differ…☆31Updated 7 years ago
- Implementation of Hidden Markov Models in pymc3☆59Updated 7 years ago
- finance☆43Updated 7 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Updated 6 years ago
- Routines for implementing various statistical and machine learning techniques.☆19Updated last year
- Simulating the combination of multiarm bandits with the Kelly criterion for portfolio allocation☆26Updated last year
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated last year
- Files for Python Talk☆24Updated 8 years ago
- Applications of Gaussian Process Latent Variable Models in Finance☆11Updated 2 years ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 5 years ago
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- Jupyter (IPython) notebooks for exploring mixture models☆35Updated 7 years ago
- Generate stochastic processes using Python. Unfortunately not maintained any longer =(☆112Updated 9 years ago
- Notes for Active Portfolio Management, by Grinold and Kahn☆45Updated 8 years ago
- A method to search for a subset of best performing items wrt black-box reward function☆12Updated 5 years ago
- Python implementation of L1 trend filtering algorithm☆24Updated 4 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- Rapid large-scale fractional differencing with NVIDIA RAPIDS and GPU to minimize memory loss while making a time series stationary. 6x-40…☆55Updated 5 years ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆48Updated 2 years ago
- ☆10Updated 7 years ago
- Transforms univariate data into normally distributed data☆74Updated 2 years ago
- Python code for Bayesian Conditional Cointegration☆17Updated 7 years ago
- Probabilistic and Directional Relu Wavenet with forex and economic news data☆24Updated 4 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- Devise: An Alternative Exchange Containing Assets Engineered To Help Fund Managers Hunt Alpha☆27Updated 6 years ago
- Using Q-learning to better navigate orderbooks.☆21Updated 6 years ago