Non-Linear Covariance Shrinkage
☆16Jan 1, 2022Updated 4 years ago
Alternatives and similar repositories for analytic_shrinkage
Users that are interested in analytic_shrinkage are comparing it to the libraries listed below. We may earn a commission when you buy through links labeled 'Ad' on this page.
Sorting:
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆24Jul 17, 2022Updated 4 years ago
- An R package for nonparametric covariance matrix estimation in high dimensions☆14Feb 17, 2024Updated 2 years ago
- PCA, Factor Analysis, CCA, Sparse Covariance Matrix Estimation, Imputation, Multiple Hypothesis Testing☆10Nov 6, 2021Updated 4 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- Ledoit-Wolf covariance matrix estimator of stock returns☆51Aug 23, 2019Updated 7 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- ☆10Mar 23, 2018Updated 8 years ago
- Python versions of nearest correlation matrix algorithms☆40Jan 16, 2019Updated 7 years ago
- Compute shrinkage estimates of the covariance matrix☆16Oct 12, 2015Updated 11 years ago
- Presentation for QuantCon 2016☆11Apr 9, 2016Updated 10 years ago
- ☆15Aug 21, 2021Updated 5 years ago
- Accompanying package of the book 'Financial Risk Modelling and Portfolio Optimisation with R', second edition. The data sets used in the …☆13Dec 7, 2016Updated 9 years ago
- Gerber robust statistics for portfolio optimization☆65Sep 21, 2022Updated 4 years ago
- Fast-Vollib: Super Fast Kernel-Fused and Optimised Black-Scholes Implied Volatility Calculator for Options☆33Sep 7, 2026Updated last month
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Feb 5, 2018Updated 8 years ago
- Managed hosting for WordPress and PHP on Cloudways • AdManaged hosting for WordPress, Magento, Laravel, or PHP apps, on multiple cloud providers. Deploy in minutes on Cloudways by DigitalOcean.
- Copula fitting in Python.☆13Dec 4, 2023Updated 2 years ago
- Toolbox for IBP Coupled SPCM-CRP Hidden Markov Model. Also contains code for EM-based HMM learning and inference for Bayesian non-paramet…☆14Mar 21, 2019Updated 7 years ago
- An Open-Source Implementation of the Critical-Line Algorithm for Portfolio Optimization☆36Sep 14, 2026Updated last month
- Python app for black-litterman portfolio optimisation☆10Dec 8, 2022Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Sep 12, 2023Updated 3 years ago
- Hierarchical Risk Parity☆29Feb 26, 2020Updated 6 years ago
- Dynamic Time Warping andTime-Weighted Dynamic Time Warping (TWDTW) for satellite image time series analysis.☆10Oct 12, 2022Updated 4 years ago
- A risk evaluation program that follows BARRA's CNE6 and USE4 risk model to predict the risk and distribution of factors in a portfolio. C…☆83Dec 11, 2020Updated 5 years ago
- My Personal Site☆14May 15, 2023Updated 3 years ago
- Wordpress hosting with auto-scaling - Free Trial Offer • AdFully Managed hosting for WordPress and WooCommerce businesses that need reliable, auto-scalable performance. Cloudways SafeUpdates now available.
- An efficient tool for large-scale correlation network analysis☆15Dec 27, 2024Updated last year
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆132Jul 6, 2023Updated 3 years ago
- Trading Stock with Deep Reinforcement Learning☆24Aug 20, 2018Updated 8 years ago
- Generalized Method of Moments estimation☆15Mar 23, 2025Updated last year
- Lasso Quantile Regression☆30Jun 15, 2026Updated 4 months ago
- ☆22Jun 20, 2018Updated 8 years ago
- ☆14Feb 25, 2020Updated 6 years ago
- 基于论文《Do Industries Explain Momentum》对行业动量策略在A股市场的有效性进行探究☆12Jul 19, 2019Updated 7 years ago
- My second web development project using Dash.☆10Jun 20, 2023Updated 3 years ago
- Deploy open-source AI quickly and easily - Special Bonus Offer • AdRunpod Hub is built for open source. One-click deployment and autoscaling endpoints without provisioning your own infrastructure.
- [NeurIPS 2020] Simple and practical private mean and covariance estimation.☆35Oct 4, 2020Updated 6 years ago
- Use total, upper, down, relative volatility factors to find Alpha. Implement whole trading process & back-test with visualization.☆13May 30, 2021Updated 5 years ago
- [ICML 2017] Robust estimation of mean and covariance in high dimensions☆34Aug 24, 2020Updated 6 years ago
- 大类资产配置☆12Jun 3, 2021Updated 5 years ago
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆38Nov 3, 2021Updated 4 years ago
- Python Package: Fitting and Forecasting the yield curve☆45Feb 25, 2021Updated 5 years ago
- 使用MATLAB开发的量化回测系统☆11Oct 21, 2018Updated 7 years ago