copula
There are 1 repository under copula topic.
- Language:Jupyter Notebook 133
majianthu / pycopent
Estimating Copula Entropy (Mutual Information), Transfer Entropy (Conditional Mutual Information), and the statistics for multivariate normality test and two-sample test, and change point detection in Python
copula-entropymutual-informationcausal-discoveryvariable-selectiongranger-causalitytransfer-entropycorrelationnormality-testinformation-theorycausalitypythoncopulahypothesis-testingtwo-sample-testconditional-independence-testconditional-mutual-informationchange-point-detectionentropychange-detectionchangepointLanguage:Python 132- Language:Python 81
- Copulas.jlLanguage:Julia 80
- Language:R 75
- Language:Python 57
- Language:Python 52
asnelt / mixedvines
Python package for canonical vine copula trees with mixed continuous and discrete marginals
Language:Python 45R package for estimating copula entropy (mutual information), transfer entropy (conditional mutual information), and the statistic for multivariate normality test and two-sample test
Language:R 38- Language:C++ 33
vinecopulib / vinecopulib
A C++ library for vine copula models (w/ interfaces to R + Python)
Language:C++ 32GustavoAlovisi / cvar_portfolio_optim
ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.
Language:R 24Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals
Language:MATLAB 13wgurecky / StarVine
Tools to construct canonical and regular vines. StarVine can also be used as a bivariate copula fitting tool.
Language:Python 13diptavo / MultiSKAT
MultiSKAT is an R-package focused at rare-variant analysis of continuous multiple phenotype data. This project contains the R-codes/functions (including an example dataset) to carry out the MultiSKAT tests.
Language:R 11- Language:C++ 11
veniarakelian / copula
[Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis
Language:Python 11PREP-NexT / global-drought-recovery
Quantification of global drought recovery probability based on Vine Copula
Language:Python 10bonartm / factorcopula
R package for dependence modelling with factor copulas
Language:R 9oezgesahin / vineclust
Model-based clustering with vine copulas
Language:R 8rena95 / Loss-Distribution-Approach
The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.
Language:R 7- Language:Python 4
microprediction / microactors
Examples of scheduled jobs estimating copulas at www.microprediction.org
Language:Python 4AlexisDerumigny / ElliptCopulas
Inference of Elliptical Copulas and Elliptical Distributions
Language:R 3- Language:R 3
MalteKurz / pacotest
R-package: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas
Language:R 3- Language:Jupyter Notebook 2
CoRE-Lab-UCF / MultiHazard-R-Package
The MultiHazard R package provides tools for stationary multivariate statistical modeling such as of the joint distribution of MULTIple co-occurring HAZARDs.
Language:R 2pratikdaga12 / portfolio-risk-management
This is a masters project completed by My Team & I the project is based portfolio risk management which calculated using Value at Risk and optimization of the portfolio using the best weights available
Language:Jupyter Notebook 2sghosh89 / BIVAN
This repo is for copula based analysis on bivariate as well as multivariate data sets in ecology and related fields. For details and citation we refer to this publication: Ghosh et al., Advances in Ecological Research, vol 62,pp 409, 2020
Language:R 2- Language:C++ 2
AsahiR / copulaRecommendation
graduation thesis. theme is improved recommendation with copula model
Language:Python 1cobanomics / rbicopula
Stata module to estimate recursive bivariate copula regressions
Language:Stata 1Gabatsarl / R-Program-Copula-CJS
Fitting an exchangeable 2-copule model
Language:R 1Code for the paper "Change Point Detection with Copula Entropy based Two-Sample Test"
Language:Python 1This repo is the complete workflow for this publication: Tail associations in ecological variables and their impact on extinction risk, Ghosh et al., Ecosphere 11(5):e03132. For details and citation see here:
Language:R 1
