ph-rast / bmgarch
Bayesian Multivariate GARCH
☆18Updated 6 months ago
Alternatives and similar repositories for bmgarch:
Users that are interested in bmgarch are comparing it to the libraries listed below
- R package for fast rolling and expanding linear regression models☆22Updated 3 years ago
- Differential evolution in R☆29Updated 2 years ago
- Bayesian DFA with Stan☆29Updated last month
- R package to estimate time-varying coefficient regressions☆19Updated last year
- ☆16Updated 3 years ago
- The Fast Kalman Filter (FKF) package for R☆12Updated 8 months ago
- Partial re-write of the R package stochvol to allow for asymmetry (leverage).☆17Updated 6 months ago
- Time Series Analysis for the State-Space Model with R/Stan☆24Updated 3 years ago
- Convolution-type Smoothed Quantile Regression☆21Updated 2 years ago
- R package to download Prof. Kenneth French data sets☆12Updated last year
- An R Package for Change Point Localisation☆12Updated last year
- Rcpp Example for accessing NLopt☆13Updated last month
- Bayesian Generalized Linear Models with Time-Varying Coefficients☆44Updated 8 months ago
- Toolbox for the estimation of Bayesian Global Vector Autoregressions in R.☆29Updated 4 months ago
- Expected Shortfall Backtesting☆12Updated last year
- Material for my proposed StanCon talk☆20Updated 4 years ago
- Multivariate Autoregressive State-Space Modeling with R☆52Updated last year
- Average marginal estimates for Bayesian models fit with the brms package☆20Updated 3 months ago
- Time varying vector autoregressive state space modeling of community interactions in a Bayesian framework☆10Updated 3 years ago
- statespacer: State Space Modelling in R☆15Updated 2 years ago
- GARCH models estimated using autodiff.☆14Updated 4 months ago
- Paper repository for "Double Robust Two-Way Fixed Effect Regression for Panel Data"☆10Updated last year
- This package provides functions for computing One-Sided Dynamic Principal Components, a novel multivariate time series dimension reductio…☆9Updated last year
- Binary Choice Models with Fixed Effects☆9Updated 2 years ago
- tsDyn☆34Updated 6 months ago
- Tutorials on Stan for Bayesian causal inference☆19Updated last year
- Applied Time Series Analysis - course website repository.☆17Updated this week
- 📊 🌐 🧑🏫 Website for PhD-level independent readings course on Bayesian statistics with R and Stan, built with Quarto☆40Updated 2 years ago
- Time Series Modelling☆24Updated 9 months ago
- Univariate GARCH models in R☆26Updated 4 months ago