yangkedc1984's repositories
time-series-transformers-review
A professionally curated list of awesome resources (paper, code, data, etc.) on transformers in time series.
All-About-Time-Series-Analysis
[Advanced] Practical Statistical Inference and Machine/Deep Learning for Time Series Forecasting
awesome-network-analysis
A curated list of awesome network analysis resources.
BayesLearnCourse
Bayesian Learning course at Stockholm University
changepoints
An R Package for Change Point Localisation
CQVAE
This resposity is a pre-released verison of Python code used in the paper "Asset pricing via the conditional quantile variational autoencoder".
db.toolbox
Matlab toolboxes / functions commonly used
Econometrics
Econometrics lecture notes with examples using the Julia language
em-matlabbox
matlab toolboxes
fmxdat
Financial Econometrics data warpper package
mxnet
Lightweight, Portable, Flexible Distributed/Mobile Deep Learning with Dynamic, Mutation-aware Dataflow Dep Scheduler; for Python, R, Julia, Scala, Go, Javascript and more
neuralforecast
Scalable and user friendly neural :brain: forecasting algorithms for time series data :wavy_dash:.
nowcast_lstm
LSTM neural networks for nowcasting economic data.
nowcast_lstm_matlab
MATLAB wrapper for nowcast_lstm python package
nowcastLSTM
R wrapper for nowcast_lstm Python library. Long short-term memory neural networks for economic nowcasting.
nwxtregress
Network Regressions in Stata
prophet
Tool for producing high quality forecasts for time series data that has multiple seasonality with linear or non-linear growth.
Realized-volatility-forecasting-LASSO-approach-and-HAR
Based on the approaches which are presented in "Forecasting Realised Volatility: Does the LASSO approach outperform HAR?" (Yi Ding, Dimos Kambouroudis & David G McMillan, 2021) I predict realized volatility for different indices (UK, USA, Germany and others)
sktime
A unified framework for machine learning with time series
synthetic_vol_forecasting
volatility forecasting within the synthetic prediction framework
Topics-In-Modern-Statistical-Learning
Materials for STAT 991: Topics In Modern Statistical Learning (UPenn, 2022 Spring) - focus on uncertainty quantification