GitHub topics: copulas
sdv-dev/Copulas
A library to model multivariate data using copulas.
Language: Python - Size: 27.5 MB - Last synced at: 5 days ago - Pushed at: 5 days ago - Stars: 584 - Forks: 116
DanielBok/copulae
Multivariate data modelling with Copulas in Python
Language: Jupyter Notebook - Size: 1.94 MB - Last synced at: about 18 hours ago - Pushed at: 3 months ago - Stars: 152 - Forks: 28
aerdely/visualdep
Visual analysis of bivariate dependence between continuous random variables.
Language: Julia - Size: 9.03 MB - Last synced at: 3 days ago - Pushed at: 10 months ago - Stars: 1 - Forks: 0
ServiceNow/TACTiS
TACTiS-2: Better, Faster, Simpler Attentional Copulas for Multivariate Time Series, from ServiceNow Research
Language: Python - Size: 2.81 MB - Last synced at: about 12 hours ago - Pushed at: 12 months ago - Stars: 136 - Forks: 24
AANovokhatskiy/pyscarcopula
Python library for modelling complex multivariate dependencies using stochastic copulas
Language: Jupyter Notebook - Size: 1.58 MB - Last synced at: about 2 months ago - Pushed at: about 2 months ago - Stars: 0 - Forks: 0
ErikssonWilliam/Financial-Risk-Management
Estimation and forecasting of volatility using financial timeseries. Includes models like GARCH, EWMA, EqWMA and Rolling Window. Portfolio management using CVaR, EVT and Monte Carlo Simulation.
Language: MATLAB - Size: 1.27 MB - Last synced at: about 2 months ago - Pushed at: about 2 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 at: 3 days ago - Pushed at: 2 months ago - Stars: 2 - Forks: 0
perame787/Master-Thesis
Scripts and data used for the master's thesis "Portfolio selection with ES and regular vine copulae with EVT marginals" presented at the Wirtschaftsuniversität Wien in summer 2023. Code is structured for the purposes of the thesis and may not comply with best coding standards.
Language: R - Size: 5.45 MB - Last synced at: 4 months ago - Pushed at: 4 months ago - Stars: 0 - Forks: 0
asnelt/mixedvines
Python package for canonical vine copula trees with mixed continuous and discrete marginals
Language: Python - Size: 334 KB - Last synced at: 26 days ago - Pushed at: over 1 year ago - Stars: 47 - Forks: 9
AlexisDerumigny/CondCopulas
Estimation and inference for conditional copulas models
Language: R - Size: 2.48 MB - Last synced at: 8 days ago - Pushed at: 8 months ago - Stars: 2 - Forks: 1
antorguez95/synthetic_data_generation_framework
This repository contains the code of our published work in IEEE JBHI. Our main objective was to demonstrate the feasibility of the use of synthetic data to effectively train Machine Learning algorithms, prooving that it benefits classification performance most of the times.
Language: Python - Size: 36.9 MB - Last synced at: 9 months ago - Pushed at: over 2 years ago - Stars: 5 - Forks: 1
sokolmarek/masters-thesis
Master's thesis - Assessment of cognitive load in extreme environment
Language: Jupyter Notebook - Size: 193 MB - Last synced at: 15 days ago - Pushed at: about 1 year ago - Stars: 4 - Forks: 0
asnelt/MixedVineToolbox
Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals
Language: Matlab - Size: 35.2 KB - Last synced at: 26 days ago - Pushed at: almost 8 years ago - Stars: 15 - Forks: 7
jobstdavid/boostCopula
Gradient-Boosted Estimation of Generalized Linear Models for Conditional Vine Copulas
Language: R - Size: 2.2 MB - Last synced at: 10 months ago - Pushed at: 10 months ago - Stars: 2 - Forks: 0
bossemel/Flow_PC
Flow-based PC algorithm for causal discovery using Normalizing Flows
Language: Python - Size: 2.58 MB - Last synced at: about 1 year ago - Pushed at: over 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 at: about 1 year ago - Pushed at: about 1 year 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 at: over 1 year ago - Pushed at: almost 5 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 at: about 1 year ago - Pushed at: about 4 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 at: about 1 year ago - Pushed at: almost 2 years ago - Stars: 1 - Forks: 2
AlexisDerumigny/MMDCopula
Robust Estimation of Copulas by Maximum Mean Discrepancy
Language: R - Size: 158 KB - Last synced at: 21 days ago - Pushed at: about 3 years ago - Stars: 5 - Forks: 0
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 at: over 1 year ago - Pushed at: about 4 years ago - Stars: 0 - Forks: 1
ramonVDAKKER/research-copulas
Semiparametric efficient rank-based estimation of copula parameters
Language: MATLAB - Size: 843 KB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 3 - Forks: 0
holmen1/economic-scenario-generator
From A to Z
Language: Python - Size: 3.01 MB - Last synced at: over 1 year ago - Pushed at: over 1 year 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 at: 8 days ago - Pushed at: about 1 year ago - Stars: 0 - Forks: 0
microprediction/microactors
Examples of scheduled jobs estimating copulas at www.microprediction.org
Language: Python - Size: 42 KB - Last synced at: 8 days ago - Pushed at: over 2 years ago - Stars: 4 - Forks: 13
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 at: about 2 years ago - Pushed at: over 2 years ago - Stars: 1 - 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 at: about 2 years ago - Pushed at: about 4 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 at: about 2 years ago - Pushed at: over 2 years 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 at: over 1 year ago - Pushed at: over 1 year 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 at: about 2 years ago - Pushed at: over 4 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 at: about 2 years ago - Pushed at: about 4 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 at: almost 2 years ago - Pushed at: almost 5 years ago - Stars: 1 - Forks: 1
