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
- R Implementation of the Time Varying Cointegration by Bierens and Martins 2010☆10Apr 14, 2016Updated 10 years ago
- ☆16Dec 11, 2020Updated 5 years ago
- Virtual machines for every use case on DigitalOcean • AdGet dependable uptime with 99.99% SLA, simple security tools, and predictable monthly pricing with DigitalOcean's virtual machines, called Droplets.
- Ledoit-Wolf covariance matrix estimator of stock returns☆51Aug 23, 2019Updated 7 years ago
- ☆10Mar 23, 2018Updated 8 years ago
- Python versions of nearest correlation matrix algorithms☆40Jan 16, 2019Updated 7 years ago
- Presentation for QuantCon 2016☆11Apr 9, 2016Updated 10 years ago
- Compute shrinkage estimates of the covariance matrix☆15Oct 12, 2015Updated 10 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
- Fast-Vollib: Super Fast Kernel-Fused and Optimised Black-Scholes Implied Volatility Calculator for Options☆29Updated this week
- Gerber robust statistics for portfolio optimization☆65Sep 21, 2022Updated 3 years ago
- Python for Random Matrix Theory: cleaning schemes for noisy correlation matrices.☆75Feb 5, 2018Updated 8 years ago
- GPUs on demand by Runpod - Special Offer Available • AdRun AI, ML, and HPC workloads on powerful cloud GPUs—without limits or wasted spend. Deploy GPUs in under a minute and pay by the second.
- 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☆36May 26, 2022Updated 4 years ago
- Python app for black-litterman portfolio optimisation☆10Dec 8, 2022Updated 3 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆61Sep 12, 2023Updated 2 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 3 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…☆82Dec 11, 2020Updated 5 years ago
- R package for adaptive correlation and covariance matrix shrinkage.☆23Jan 23, 2019Updated 7 years ago
- Proton VPN Special Offer - Get 70% off • AdSpecial partner offer. Trusted by over 100 million users worldwide. Tested, Approved and Recommended by Experts.
- An efficient tool for large-scale correlation network analysis☆15Dec 27, 2024Updated last year
- Constrained and Unconstrained Risk Budgeting / Risk Parity Allocation in Python☆131Jul 6, 2023Updated 3 years ago
- Generalized Method of Moments estimation☆15Mar 23, 2025Updated last year
- Lasso Quantile Regression☆30Jun 15, 2026Updated 2 months ago
- ☆22Jun 20, 2018Updated 8 years ago
- ☆14Feb 25, 2020Updated 6 years ago
- ☆11Mar 12, 2021Updated 5 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
- ☆31Aug 7, 2022Updated 4 years ago
- Deploy on Railway without the complexity - Free Credits Offer • AdConnect your repo and Railway handles the rest with instant previews. Quickly provision container image services, databases, and storage volumes.
- Writing a basic market making strategy on liquid and illiquid crypto/fiat pairs☆38Nov 3, 2021Updated 4 years ago
- 大类资产配置☆12Jun 3, 2021Updated 5 years ago
- Python Package: Fitting and Forecasting the yield curve☆43Feb 25, 2021Updated 5 years ago
- 使用MATLAB开发的量化回测系统☆11Oct 21, 2018Updated 7 years ago
- This is some work on option prcing and greeks calculation for dynamic hedge. These functions are numerical pricing methods employed to re…☆18Feb 3, 2021Updated 5 years ago
- ☆10Nov 24, 2020Updated 5 years ago
- Python library for multivariate dependence modeling with Copulas☆120Jun 11, 2024Updated 2 years ago