GitHub topics: extreme-value-theory
sdat2/worstsurge
WorstSurge python packages: runs the experiments for "Finding the potential height of tropical cyclone storm surges in a changing climate using Bayesian optimization"
Language: Python - Size: 79.9 MB - Last synced at: 2 days ago - Pushed at: 2 days ago - Stars: 2 - Forks: 0
mu373/tailestim
Estimate tail parameters of heavy-tailed distributions (including power law exponent gamma) in Python
Language: Python - Size: 202 KB - Last synced at: 20 days ago - Pushed at: 20 days ago - Stars: 1 - 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
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
perej1/extreme
R package for estimation of elliptical extreme quantile regions
Language: R - Size: 70.3 KB - Last synced at: 5 months ago - Pushed at: 5 months ago - Stars: 1 - Forks: 0
Anubhab17/STXGCN
GNN for spatiotemporal Forecasting using Extreme Value Theory
Language: R - Size: 3.91 MB - Last synced at: 9 months ago - Pushed at: 9 months ago - Stars: 0 - Forks: 0
BrianNathanWhite/ADCIRC-reanalysis
A Multivariate Spatial Extreme Value Analysis of Reconstructed Detided Daily Mean Sea Level Data
Language: R - Size: 96.7 KB - Last synced at: 12 months ago - Pushed at: almost 3 years ago - Stars: 1 - Forks: 0
alisonpeard/hazGAN-old 📦
Extreme value theory and GANs to generate compound coastal hazards (wind, precipitation, and significant wave height) over the Bay of Bengal.
Language: Jupyter Notebook - Size: 1.26 GB - Last synced at: 12 months ago - Pushed at: about 1 year ago - Stars: 0 - Forks: 0
jlidw/FluxEV
Code for the WSDM 2021 paper "FluxEV: A Fast and Effective Unsupervised Framework for Time-Series Anomaly Detection".
Language: Python - Size: 42 KB - Last synced at: about 1 year ago - Pushed at: about 1 year ago - Stars: 15 - Forks: 1
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
perej1/elliptical-sim
Simulations for an article about extreme quantile region estimation
Language: R - Size: 1.05 GB - Last synced at: over 1 year ago - Pushed at: over 1 year ago - Stars: 0 - Forks: 0
guilhermessc/VaR-threshold-and-confidence-interval
This project studies the effects of the shape parameter estimator uncertainty at different threshold levels on the value-at-risk confidence interval for quantitative risk management (QRM) using the Generalized Pareto Distribution (GPD) from the Extreme Value Theory (EVT) approach.
Language: Jupyter Notebook - Size: 2.55 MB - Last synced at: about 2 years ago - Pushed at: over 2 years ago - Stars: 0 - Forks: 0
PascalBruhn/FindTheTail
Find The Tail - Matlab
Size: 2.73 MB - Last synced at: about 2 years ago - Pushed at: almost 3 years ago - Stars: 1 - Forks: 1
