190 skills found · Page 6 of 7
woraphonyamaka / DynamicCOPDynamic Copula with exogenous variables
GeorgeHud50n / C Vine CopulasExploring the use of C-Vine Copulas for statistical arbitrage
jh6208 / Pairs Trading ResearchThis is my group source code to use baseline approaches (integrating of Kalman filter and of Cointegration), copulas method, and Support Vector Machines (SVMs) algorithms to pair trade the U.S. equity indexes Russell 2000 and S&P400.
Zhuosd / OLDSDThis paper explores a new online learning problem where the data streams are generated from an over-time varying feature space, in which the random variables are of mixed data types including Boolean, ordinal, and continuous. The crux of this setting lies in how to establish the relationship among features, such that the learner can enjoy 1) reconstructed information of the missed-out old features and 2) a jump-start of learning new features with educated weight initialization. Unfortunately, existing methods mainly assume a linear mapping relationship among features or that the multivariate joint distribution could be modeled as Gaussians, limiting their applicability to the mixed data types. To fill the gap, we in this paper propose to model the complex joint distribution underlying mixed data with Gaussian copula, where the observed features with arbitrary marginals are mapped onto a latent normal space. The feature correlation is approximated in the latent space through an online EM process. Two base learners trained on the observed and latent features are ensembled to expedite convergence, thereby minimizing prediction risk in an online learning regime. Theoretical and empirical studies substantiate the effectiveness of our proposed approach. Code is available online at https://github.com/Zhuosd/OLDSD.git
tagas / VcaeVine Copula Autoencoders
yinanwu199 / CopulaNo description available
jimgoo / HfriskParallel copula ARMA-GARCH estimation in C++ using MPI
HankXiong / Arma Garch CopulaNo description available
yuyuliangyu / Matlab Vine Copula这是一个用matlab编写的vine-copula
udellgroup / GcimputeRMissing value imputation using Gaussian copula
zhanghuanyuan / R Vine Copula With Sliding Windowcalculate r vine copula with sliding window
EUPP-benchmark / ESSD DVQRD-vine copula based postprocessing (DVQR) scripts for the ESSD benchmark.
MVL-Lab / TGC MTSThe official implementation of BIBM 24' Paper "Temporal Gaussian Copula For Clinical Multivariate Time Series Data Interpolation"
BenGraeler / Copulathequecollection of shiny apps
vincenzocoia / CopulaModelRepository for the CopulaModel package by Harry Joe and Pavel Krupskii
david-dunson / Gaussian Copula Factor Model"Bayesian Gaussian Copula Factor Models for Mixed Data" by Jared S. Murray, David B. Dunson, Lawrence Carin, Joseph E. Lucas. This is a read-only mirror of the CRAN R package repository.
huard / CopulaBayesian Copula Selection for MatLab
polyhedron-gdl / Copula Methods In FinanceFood for Mind - Master in Quantitative Finance - University of Bologna
MangoTheCat / BLCOPBlack-Litterman and copula-opinion pooling frameworks
nuletizia / CODINE Copula EstimatorCopula density neural estimation algorithm
