rafat / ctsaLinks
A Univariate Time Series Analysis and ARIMA Modeling Package in ANSI C. Updated with SARIMAX and Auto ARIMA.
☆69Updated 10 months ago
Alternatives and similar repositories for ctsa
Users that are interested in ctsa are comparing it to the libraries listed below
Sorting:
- Fast Unit Root Tests and OLS regression in C++ with wrappers for R and Python☆92Updated 4 years ago
- An open-source library of algorithms to analyse time series in GPU and CPU.☆239Updated 4 years ago
- ☆60Updated last year
- QuantLib with adjoint algorithmic differentiation (AAD)☆49Updated 9 years ago
- Computation of Sparse Eigenvectors of a Matrix☆12Updated 6 years ago
- Memory Efficient Quantile Approximator for High Speed Data Streams☆22Updated 9 years ago
- A C++ library of Markov Chain Monte Carlo (MCMC) methods☆188Updated last year
- An implementation of the Nelder-Mead simplex method.☆27Updated 9 years ago
- A high-performance, open-source, header-only C++(>=11) library for pricing derivatives.☆63Updated 2 years ago
- Derivative-Free Global Optimization Algorithm (C++, Python binding) - Continuous, Discrete, TSP, NLS, MINLP☆163Updated 2 months ago
- Multi Expression Programming - basic source code☆17Updated 2 weeks ago
- Algorithms for Unevenly Spaced Time Series in C☆15Updated 7 years ago
- A fast, interactive, graphical-user-interface oriented software suite for predictive modeling, multivariate time series analysis, real-t…☆18Updated 9 years ago
- Bayesian online change point detection and offline learning☆57Updated 5 years ago
- The Economic Simulation Library provides an extensive collection of tools to develop, test, analyse and calibrate economic and financial…☆75Updated 2 months ago
- header only essentials of QuantLib☆25Updated 8 years ago
- ☆43Updated 10 years ago
- Companion code for "Modern Computational Finance: AAD and Parallel Simulations" (Antoine Savine, Wiley, 2018)☆189Updated 4 years ago
- tindicators is a library of technical analysis indicators☆29Updated 4 years ago
- code from Daniel Lemire, A Better Alternative to Piecewise Linear Time Series Segmentation, SIAM Data Mining 2007, 2007.☆24Updated 8 years ago
- Probabilistic programming framework that facilitates objective model selection for time-varying parameter models.☆168Updated last year
- A C++ implementation of the Johansen Cointegration test☆21Updated 3 years ago
- ☆17Updated 3 years ago
- Factor Expression + Historical Data = Factor Values☆30Updated last year
- A unique time series library in Python that consists of Kalman filters (discrete, extended, and unscented), online ARIMA, and time differ…☆33Updated 8 years ago
- The GNU Scientific Library (GSL) is a numerical library for C and C++ programmers.☆33Updated 5 years ago
- Developed a fast implementation of autoregressive models with fitting, ACF/PACF tests and forecasting.☆13Updated 6 years ago
- QuantLib ported to C++17 and with all Boost dependency removed☆76Updated 8 years ago
- Implementation of "The Metropolis Algorithm: Theory and Examples"☆34Updated last month
- FIX library generated with C++ PreProcessor to be used in latency sensitive context.☆31Updated this week