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Implementation of the FNETS methodology proposed in Barigozzi, Cho and Owens (2024) for network estimation and forecasting of high-dimensional time series
A package implements high-dimensional sparse machine learning algorithm to recover behavior influence networks and peer influence effects
An R package to identify strongly connected vertex-layer communities in multilayer networks.
Spectral decomposition of spillover measures
Python implementation of a portfolio replication strategy using ML (Elastic Net, Ridge), Kalman Filter, and HRP allocation. Includes dataset, notebook, Streamlit app, and final report.
❗ This is a read-only mirror of the CRAN R package repository. fnets — Factor-Adjusted Network Estimation and Forecasting for High-Dimensional Time Series
Data and code for "Data-Driven Tuning Parameter Selection for High-Dimensional Vector Autoregressions"
Code for Statistical Inference for High Dimensional Matrix Variate Factor Model (Chen & Fan, 2021, JASA) in R
High-dimensional time series segmentation via factor-adjusted VAR modelling
Dimension Reduction Methods for Multivariate Time Series
Trying to get "Large Time-Varying Parameter VAR" of Koop & Kurubillis (2013) done in R.
Tigramite is a python package for causal inference with a focus on time series data. The Tigramite documentation is at
calculate r vine copula with sliding window
Replication of Time varying sustematic risk evidence from a dynamic copula model of CDS spreads article by Dong Hwan Oh & Andrew J. Patton for Duke University. Published on May 23rd, 2013
Methods and Measures for Brain, Cognitive, and Psychometric Network Analysis
❗ This is a read-only mirror of the CRAN R package repository. FactorCopula — Factor, Bi-Factor, Second-Order and Factor Tree Copula Models
R package for dependence modelling with factor copulas
Inference for Gaussian copula factor models and its application to causal discovery.
Time series forecasting (close prices) with different estimators.
Toolkit for the estimation of hierarchical Bayesian vector autoregressions. Implements hierarchical prior selection for conjugate priors in the fashion of Giannone, Lenza & Primiceri (2015). Allows…
This repo is a modification of the DLinear model structure to forecast a single channel by aggregating multiply channels. Replace the original DLinear module with the code provided here for applica…
Sparse regression of mixed-frequency VectorAutoregressions