lbelzile / mev
Modelling extreme values
☆14Updated 4 months ago
Alternatives and similar repositories for mev:
Users that are interested in mev are comparing it to the libraries listed below
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆15Updated 4 months ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆27Updated 2 months ago
- R/C++ implementation of Bayes VAR models☆17Updated 5 years ago
- Functions for Bayesian inference of vector autoregressive and vector error correction models☆31Updated 5 months ago
- Penalized Quantile Regression☆17Updated 2 weeks ago
- Adaptive debiased machine learning of treatment effects with the highly adaptive lasso☆14Updated this week
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆8Updated 11 months ago
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Updated 8 years ago
- R Package for Bootstrap Unit Root Tests☆10Updated 3 weeks ago
- A package for shrinkage estimation of covariance matrices☆12Updated last year
- tsDyn☆34Updated 4 months ago
- statespacer: State Space Modelling in R☆15Updated 2 years ago
- Bayesian SVARs with Sign, Zero, and Narrative Restrictions☆13Updated last month
- Paper repository for "Double Robust Two-Way Fixed Effect Regression for Panel Data"☆10Updated last year
- Dynamic Factor Models for R☆31Updated 5 months ago
- packages for Peter Phillips and Zhentao Shi (2018): "Boosting the Hodrick-Prescott Filter"☆12Updated 2 years ago
- Bayesian DFA with Stan☆28Updated 4 months ago
- Additive quantile regression R package☆33Updated 5 months ago
- R package for Mixed-Frequency Bayesian VARs☆38Updated 3 years ago
- This is a read-only mirror of the CRAN R package repository. splm — Econometric Models for Spatial Panel Data☆10Updated last year
- Time series forecasting with Lasso-type shrinkage methods☆13Updated 5 months ago
- nardl:An R package to estimate the nonlinear cointegrating autoregressive distributed lag model☆14Updated 3 years ago
- R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.☆12Updated 10 months ago
- Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors …☆51Updated 3 months ago
- R/haldensify: Highly Adaptive Lasso Conditional Density Estimation☆18Updated 3 weeks ago
- Spatial Seemingly Unrelated Regressions☆11Updated 2 years ago
- Granger causality testing in High Dimensional Vector Autoregressive Models☆15Updated 9 months ago
- An R package for multivariate signal extraction☆13Updated 3 months ago
- Dynamic factor models (DFM) in R. Easy estimation and new data contributions to changes in prediction.☆26Updated last year
- Inference in instrumental variables models robust to many instruments☆11Updated 4 years ago