Ecosyste.ms: Repos

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GitHub topics: copulas

AlexisDerumigny/CondCopulas

Estimation and inference for conditional copulas models

Language: R - Size: 2.46 MB - Last synced: 10 days ago - Pushed: 10 days ago - Stars: 2 - Forks: 1

sdv-dev/Copulas

A library to model multivariate data using copulas.

Language: Python - Size: 21.8 MB - Last synced: 11 days ago - Pushed: 12 days ago - Stars: 506 - Forks: 104

ServiceNow/TACTiS

TACTiS-2: Better, Faster, Simpler Attentional Copulas for Multivariate Time Series, from ServiceNow Research

Language: Python - Size: 2.81 MB - Last synced: 15 days ago - Pushed: 15 days ago - Stars: 103 - Forks: 17

DanielBok/copulae

Multivariate data modelling with Copulas in Python

Language: Jupyter Notebook - Size: 1.87 MB - Last synced: 6 days ago - Pushed: 2 months ago - Stars: 135 - Forks: 25

asnelt/mixedvines

Python package for canonical vine copula trees with mixed continuous and discrete marginals

Language: Python - Size: 334 KB - Last synced: 27 days ago - Pushed: 5 months ago - Stars: 45 - Forks: 8

bossemel/Flow_PC

Flow-based PC algorithm for causal discovery using Normalizing Flows

Language: Python - Size: 2.58 MB - Last synced: 2 months ago - Pushed: almost 2 years ago - Stars: 1 - Forks: 0

Sinbad-The-Sailor/Abacus

Automatic optimal sequential investment decisions. Forecasts made using advanced stochastic processes with Monte Carlo simulation. Dependency is handled with vine copulas.

Language: Jupyter Notebook - Size: 6.91 MB - Last synced: 3 months ago - Pushed: 3 months ago - Stars: 15 - Forks: 2

itsoukal/anySim

An R package for the stochastic simulation of processes with any marginal distribution and correlation structure

Language: R - Size: 584 KB - Last synced: 4 months ago - Pushed: about 4 years ago - Stars: 7 - Forks: 2

M-Soundouss/CopulaConformalMTR

Code for paper "Copula-based conformal prediction for Multi-Target Regression"

Language: Python - Size: 11.7 KB - Last synced: 3 months ago - Pushed: about 3 years ago - Stars: 23 - Forks: 3

thorpn/MonteCarlo

Monte Carlo used for the seminar Monte Carlo Methods in Econometrics and Finance at the university of Copenhagen

Language: MATLAB - Size: 85 KB - Last synced: 4 months ago - Pushed: about 1 year ago - Stars: 1 - Forks: 2

microprediction/microactors

Examples of scheduled jobs estimating copulas at www.microprediction.org

Language: Python - Size: 42 KB - Last synced: 7 months ago - Pushed: over 1 year ago - Stars: 4 - Forks: 14

asnelt/MixedVineToolbox

Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals

Language: Matlab - Size: 35.2 KB - Last synced: 4 months ago - Pushed: almost 7 years ago - Stars: 12 - Forks: 5

Nathan-Potgieter/Making-of-MCmarket

This is where I originally designed my Monte Carlo simulation package (MCmarket) my Mcom financial econometrics course work at Stellenbosch University.

Language: HTML - Size: 17 MB - Last synced: 9 months ago - Pushed: over 3 years ago - Stars: 0 - Forks: 1

ramonVDAKKER/research-copulas

Semiparametric efficient rank-based estimation of copula parameters

Language: MATLAB - Size: 843 KB - Last synced: about 2 months ago - Pushed: about 2 months ago - Stars: 3 - Forks: 0

holmen1/economic-scenario-generator

From A to Z

Language: Python - Size: 3.01 MB - Last synced: 7 months ago - Pushed: 7 months ago - Stars: 0 - Forks: 1

adknudson/PearsonCorrelationMatch.jl

Compute the Pearson correlation to be used in Gaussian copulas

Language: Julia - Size: 51.8 KB - Last synced: 24 days ago - Pushed: about 2 months ago - Stars: 0 - Forks: 0

sokolmarek/masters-thesis

Master's thesis - Assessment of cognitive load in extreme environment

Language: Jupyter Notebook - Size: 193 MB - Last synced: 4 months ago - Pushed: 4 months ago - Stars: 0 - Forks: 0

alfurka/synloc

A Python Package to Create Synthetic Tabular Data

Language: Jupyter Notebook - Size: 16.3 MB - Last synced: 13 days ago - Pushed: about 1 year ago - Stars: 2 - Forks: 0

faizan90/phsann

Multivariate time series generator based on the Phase Annealing algorithm. Various objective functions that focus on multivariate copula properties while annealing. Various plotting routines to visualize results. Take a look at the scripts in the "test" directory for how to use.

Language: Python - Size: 607 KB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 1 - Forks: 0

AlexisDerumigny/MMDCopula

Robust Estimation of Copulas by Maximum Mean Discrepancy

Language: R - Size: 158 KB - Last synced: 6 months ago - Pushed: about 2 years ago - Stars: 4 - Forks: 0

ElsevierSoftwareX/SOFTX-D-21-00039

MATVines: A Vine Copula Package for MATLAB. To cite this software publication: https://www.sciencedirect.com/science/article/pii/S2352711021000455

Language: MATLAB - Size: 590 KB - Last synced: about 1 year ago - Pushed: about 3 years ago - Stars: 6 - Forks: 3

Sinbad-The-Sailor/Financial-Mathematics-Notebooks

Notebooks in financial mathematics. Ranging from risk management to portfolio management and stochastic processes for financial markets.

Language: Jupyter Notebook - Size: 26.4 MB - Last synced: about 1 year ago - Pushed: over 1 year ago - Stars: 0 - Forks: 1

dcuoliveira/QuantFinDrafts

Mostly experiments of quantitative finance concepts that i wish to get a deeper knowledge of the underlying theory

Language: Jupyter Notebook - Size: 103 MB - Last synced: 8 months ago - Pushed: 8 months ago - Stars: 2 - Forks: 2

hetankevin/copulas

A professor I wanted to do research with asked me to read up on copulas before an interview. I ended up doing a bit more than just reading. This is based off the work of Thomas Wiecki (https://twiecki.io/blog/2018/05/03/copulas/).

Language: Jupyter Notebook - Size: 597 KB - Last synced: about 1 year ago - Pushed: over 3 years ago - Stars: 1 - Forks: 0

nikpau/cop-select

Research seminar about a fast selection technique for bivariate copulae.

Language: TeX - Size: 1.47 MB - Last synced: about 1 year ago - Pushed: about 3 years ago - Stars: 0 - Forks: 0

vpozdnyakov/gen_models_in_trading

Generative Models in Commodity Trading

Language: Jupyter Notebook - Size: 48.5 MB - Last synced: 12 months ago - Pushed: almost 4 years ago - Stars: 1 - Forks: 1

Related Keywords
copulas 26 time-series 5 statistics 5 copula 5 copula-models 5 machine-learning 4 python 3 modeling 3 matlab 3 dependency-modeling 3 synthetic-data 3 copulae 3 dependency-analysis 3 finance 3 monte-carlo-simulation 3 stochastic-processes 3 r-package 3 quantitative-finance 3 data-analysis 3 simulation 2 c-vines 2 regular-vines 2 multivariate-simulation 2 distributions 2 vine-copulas 2 risk-management 2 r-pkg 2 timeseries 2 neural-network 2 deep-learning 2 gaussian 2 copula-entropy 2 timeseries-sequence 1 efficient-inference 1 space 1 estimation 1 respiration 1 granger-causality 1 gramian-angular-fields 1 electrodermal-activity 1 rank-based 1 semiparametric-estimation 1 electrocardiography 1 cognitive-neuroscience 1 parameter-estimation 1 rate-models 1 capsule-network 1 biosignals 1 singular-value-decomposition 1 gaussian-copula 1 pearson-correlation 1 geometric-brownian-motion 1 generative-adversarial-network 1 maximum-likelihood-estimation 1 efficient 1 algorithm 1 stocks 1 simulated-data 1 backtesting 1 portfolio-management 1 dependence-modeling 1 mmd 1 simulated-annealing 1 higher-order-dependence 1 copula-asymmetries 1 synthetic-dataset-generation 1 synthetic 1 semi-parametric-modeling 1 sampling 1 resampling 1 oversampling 1 nonparametric-distribution 1 multivariate-distributions 1 local-sampling 1 knn 1 k-means 1 data-augmentation 1 constrained-clustering 1 clustering 1 extreme-value-theory 1 cryto-currency 1 cryptocurrency 1 algorithmic-trading 1 normalizing-flows 1 mutual-information 1 conditional-independence 1 causal-discovery 1 python3 1 pypi-packages 1 pypi 1 data 1 conda 1 transformers 1 time-series-prediction 1 forecasting 1 tabular-data 1 synthetic-data-generation 1 generative-model 1 generative-ai 1 data-generation 1