kenluck2001 / pySmooth
A unique time series library in Python that consists of Kalman filters (discrete, extended, and unscented), online ARIMA, and time difference model.
☆31Updated 7 years ago
Alternatives and similar repositories for pySmooth:
Users that are interested in pySmooth are comparing it to the libraries listed below
- Dynamic lead/lag inference for time series☆15Updated 5 years ago
- ☆10Updated 7 years ago
- Python Copula Module☆43Updated last year
- Multivariate Adaptive Regression Splines for Time Series Prediction☆18Updated last year
- SdePy: Numerical Integration of Ito Stochastic Differential Equations☆45Updated 3 years ago
- ☆27Updated 5 years ago
- Evaluation of Hybrid MODWT-MARS framework for financial time series forecasting☆18Updated 3 months ago
- Code examples for pyFTS☆48Updated 5 years ago
- Recurrent Neural Filters for Time Series Prediction☆24Updated 4 years ago
- Advancing in Financial Machine Learning☆16Updated 4 years ago
- Bayesian online change point detection and offline learning☆57Updated 5 years ago
- Implementation of Monte Carlo Optimization Selection from the paper "A Robust Estimator of the Efficient Frontier"☆55Updated last year
- JumpDiff: Non-parametric estimator for Jump-diffusion processes for Python☆45Updated last year
- ☆63Updated this week
- DATA-AIDED PAIRS TRADING VIA LEARNED KALMAN WITH BOLLINGER BANDS☆32Updated 2 years ago
- Recombinator is a Python package for statistical resampling in Python. It provides various algorithms for the iid bootstrap, the block bo…☆47Updated 11 months ago
- This aims to be a collection of tools for performing Bayesian parameter estimation and model selection on stochastic processes. The immed…☆11Updated 3 years ago
- Loose collection of Jupyter notebooks, mostly for my blog☆28Updated 2 months ago
- Codes for the paper 'Clustering Approaches for Global Minimum Variance Portfolio'☆23Updated 2 years ago
- Markov Switching Models for Statsmodels☆22Updated 8 years ago
- Library for stochastic process simulation☆14Updated last year
- Calibrate and simulate linear propagator models for the price impact of an extrinsic order flow.☆23Updated 7 years ago
- ☆32Updated 6 years ago
- Code and examples for the project on risk-constrained Kelly gambling☆26Updated 4 years ago
- Bayesian Inference and parameter estimation in quant finance.☆43Updated 5 years ago
- Mueen-Keogh Algorithm for finding timeseries motifs☆21Updated 3 years ago
- Stochastic volatility models☆18Updated 6 years ago
- This module allows you to easily create order-based financial markets, add agents with various strategies, and evaluate the actions of ag…☆29Updated 2 years ago
- ☆46Updated 6 years ago
- Talk Materials for "Convex Optimization for Finance"☆28Updated 2 years ago