ayotoasset

CopulaFactorModel

Inference for Gaussian copula factor models and its application to causal discovery.

dsp

Dynamic Shrinkage Processes

analytic_wavelet

A translation of J.M. Lilly's code for ridge and element analysis using generalized Morse wavelets into python

anomaly

Fast anomaly detection in R

BayesMAR

Bayesian Median Autoregressive model for time series forecasting

causalXtreme

An R package for causal discovery in heavy-tailed models

cdcopula

Covariate-dependent copula models

Clustering_of_time-varying_Hurst_exponents

dcortools

Providing fast and flexible functions for distance correlation analysis

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.

FLM_interval_valued_data

GARCH-SMC

Efficient Bayesian estimation for GARCH-type models via Sequential Monte Carlo

graphicalExtremes

Statistical methodology for graphical extreme value models

hierarchical-MFVAR

Sparse regression of mixed-frequency VectorAutoregressions

hurst-exp

Estimating Hurst exponents varying in time using neural networks for time series

icph

R package icph

igcop

R package holding computational tools for the Integrated Gamma Copula Family

IntroCopula

Introduction to dependence modelling with copula

lg

Local Gaussian dsitributions: An R package

mfaces

Multivariate functional principal component analysis via fast covariance estimation for sparse functional data

mfbvar

R package for Mixed-Frequency Bayesian VARs

pointWav

Estimation of Smoothed Wavelet Spectra/Coherence in Continuous time from Multivariate Point-Processes

projection_extremes

We use the Euclidean projection onto the simplex to study dependence between extremes.

pybats

Bayesian time series forecasting and decision analysis

pyGC

Granger Causality library in python

Stochastic-Volatility-Models

R Code to accompany "An Approach to Efficient Fitting of Univariate and Multivariate Stochastic Volatility Models"

teaspoon

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