ayotoasset's repositories
CopulaFactorModel
Inference for Gaussian copula factor models and its application to causal discovery.
analytic_wavelet
A translation of J.M. Lilly's code for ridge and element analysis using generalized Morse wavelets into python
causalXtreme
An R package for causal discovery in heavy-tailed models
Download_Crypto_Currencies_Data
Download and update data about crypto-currencies (bitcoin, ether, litecoin, etc.) from different exchanges (Binance, Bitmex, Bitfinex, GDAX, Kraken and Poloniex) with pyhton.
graphicalExtremes
Statistical methodology for graphical extreme value models
hierarchical-MFVAR
Sparse regression of mixed-frequency VectorAutoregressions
icph
R package icph
IntroCopula
Introduction to dependence modelling with copula
mfbvar
R package for Mixed-Frequency Bayesian VARs
projection_extremes
We use the Euclidean projection onto the simplex to study dependence between extremes.
pybats
Bayesian time series forecasting and decision analysis
Stochastic-Volatility-Models
R Code to accompany "An Approach to Efficient Fitting of Univariate and Multivariate Stochastic Volatility Models"
VC2copula
Extends the 'copula' package with families and models from 'VineCopula'.
vinereg
D-vine quantile regression
wavelet_coherence
Tutorial with scripts on how to run wavelet coherence