ayotoasset's repositories
AdditiveCausalExpansion
This is a package for the treatment effect estimation using a varying coefficient model with Gaussian process priors on the parameters. The coefficient functions are dependent on the confounders. The linear elements are the basis expansion of the treatment variable, allowing for causal inference for binary, multivariate, and continuous treatments.
Application-of-Transfer-Entropy-to-Assess-Causality-in-Metabolomic-Networks
My third research project at the Centre for Computation, Mathematics and Physics in the Life Sciences and Experimental Biology at University College London (UCL CoMPLEX).
bayesVAR_TVP
R/C++ implementation of Bayes VAR models
breakPSAR
A novel and Fast Multiple Structural Break Estimation for Nonstationary Time Series Models.
CausalImpact
An R package for causal inference in time series
CCI
Cyclic Causal Inference
CopulaOne
A R package that implements very flexible bivariate parametric copulas
Copulas
Playing around with time-varying parameter copulas
copulastatistic
All code related to the paper: "A Copula Statistic for Measuring Nonlinear Multivariate Dependence"
CoVaR
CoVaR estimation via quantile regression
cPCOH
Consensus-based partial coherence implementation as described in Ter Wal et al., NeuroImage, 2018.
cvv
R package for cosine of velocity vectors, a measure of dyadic synchrony
f-SVAR
Estimating dynamic connectivity states in neuroimaging data using regime-switching factor models
factorcopula
R package for dependence modelling with factor copulas
FCVAR
Fractionally cointegrated vector autoregressive model
gamCopula
Repository of the gamCopula R Package
gR2
An R package to estimate population generalized R square measures
Information_Share_Currency_Market
This is the code to get information share for the spot and futures market using Hasbroucks Methodology (1995).
informationtransfer
Thesis MaStat 2018
KernelGrangerCausality
Code to evaluate nonlinear Granger causality using the kernel trick to reduce complexity
Neural-Network-based-HAR-models
R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.
RTransferEntropy
Code to implement transfer entropy (Shannon and Renyi)
Structural-Break-Detection
Structural Break Detection in Financial Durations
TDAFinancialTimeSeries
TDA for Financial Time Series: Persistent Homology and Landscapes