omitakahiro / HawkesLinks
a python package for simulation and inference of Hawkes processes.
☆70Updated 4 years ago
Alternatives and similar repositories for Hawkes
Users that are interested in Hawkes are comparing it to the libraries listed below
Sorting:
- Python class for generation and parameter estimation of multivariate Hawkes processes☆175Updated 5 months ago
- fast parameter estimation for simpler Hawkes processes☆73Updated 3 years ago
- [Python Package] Code from 'The Elements of Hawkes Processes' Book☆30Updated 2 years ago
- Python framework for inference in Hawkes processes.☆247Updated 2 years ago
- Learning Hawkes Processes from a Handful of Events☆13Updated 2 years ago
- Calculate predictive causality between time series using information-theoretic techniques☆109Updated 4 years ago
- A toolbox of Hawkes processes☆116Updated 7 years ago
- A machine learning tool that implements the class of state-dependent Hawkes processes.☆32Updated 2 years ago
- DCC-GARCH(1,1) for multivariate normal distribution.☆62Updated 2 years ago
- Python implementation of Bayesian online changepoint detection☆106Updated 2 years ago
- ☆18Updated 3 years ago
- Python package for canonical vine copula trees with mixed continuous and discrete marginals☆49Updated 2 years ago
- Parametric estimation of multivariate Hawkes processes with general kernels.☆14Updated last year
- PyTorch autoencoder implementation of asset pricing model using monthly returns/metrics☆52Updated 5 years ago
- Robust pricing and hedging via Neural SDEs☆38Updated 4 years ago
- A PyTorch Implementation of Neural Hawkes Process. Redefined.☆35Updated 5 years ago
- Pytorch implementation of Deep Hedging, Utility Maximization and Portfolio Optimization☆17Updated last year
- Estimation of the Covariance Matrix - linear and nonlinear shrinkage☆23Updated 3 years ago
- Multiple Univariate AR-GARCH Modelling with Copula marginals for simulation☆20Updated last year
- Multivariate data modelling with Copulas in Python☆159Updated 11 months ago
- Python library for Random Matrix Theory, cleaning schemes for correlation matrices, and portfolio optimization☆61Updated 3 years ago
- Python Copula Module☆43Updated 3 years ago
- Implementation of the [Hierarchical (Sig-Wasserstein) GAN] algorithm for large dimensional Time Series Generation: https://doi.org/10.390…☆17Updated 3 years ago
- ☆30Updated 2 years ago
- Implementation of the Bayesian Online Change-point Detector of Ryan Prescott Adams and David McKay.☆15Updated 4 years ago
- An interpretable framework for inferring nonlinear multivariate Granger causality based on self-explaining neural networks.☆79Updated 2 years ago
- Python library with C++ extensions for simulation, compensator, log-likelihood and intensity function computation for a multivariate Hawk…☆10Updated 8 years ago
- DCC GARCH modeling in Python☆102Updated 6 years ago
- Module for statistical learning, with a particular emphasis on time-dependent modelling☆535Updated last year
- Code for Transformer Hawkes Process, ICML 2020.☆203Updated last year