Showing 131 of total 131 results (show query)

paulponcet

modeest:Mode Estimation

Provides estimators of the mode of univariate data or univariate distributions.

Maintained by Paul Poncet. Last updated 5 years ago.

9 stars 9.62 score 900 scripts 47 dependents

r-forge

fPortfolio:Rmetrics - Portfolio Selection and Optimization

A collection of functions to optimize portfolios and to analyze them from different points of view.

Maintained by Stefan Theussl. Last updated 10 days ago.

1 stars 6.65 score 179 scripts 2 dependents

rtsay1

MTS:All-Purpose Toolkit for Analyzing Multivariate Time Series (MTS) and Estimating Multivariate Volatility Models

Multivariate Time Series (MTS) is a general package for analyzing multivariate linear time series and estimating multivariate volatility models. It also handles factor models, constrained factor models, asymptotic principal component analysis commonly used in finance and econometrics, and principal volatility component analysis. (a) For the multivariate linear time series analysis, the package performs model specification, estimation, model checking, and prediction for many widely used models, including vector AR models, vector MA models, vector ARMA models, seasonal vector ARMA models, VAR models with exogenous variables, multivariate regression models with time series errors, augmented VAR models, and Error-correction VAR models for co-integrated time series. For model specification, the package performs structural specification to overcome the difficulties of identifiability of VARMA models. The methods used for structural specification include Kronecker indices and Scalar Component Models. (b) For multivariate volatility modeling, the MTS package handles several commonly used models, including multivariate exponentially weighted moving-average volatility, Cholesky decomposition volatility models, dynamic conditional correlation (DCC) models, copula-based volatility models, and low-dimensional BEKK models. The package also considers multiple tests for conditional heteroscedasticity, including rank-based statistics. (c) Finally, the MTS package also performs forecasting using diffusion index , transfer function analysis, Bayesian estimation of VAR models, and multivariate time series analysis with missing values.Users can also use the package to simulate VARMA models, to compute impulse response functions of a fitted VARMA model, and to calculate theoretical cross-covariance matrices of a given VARMA model.

Maintained by Ruey S. Tsay. Last updated 3 years ago.

cpp

6 stars 6.52 score 272 scripts 6 dependents

cran

fGarch:Rmetrics - Autoregressive Conditional Heteroskedastic Modelling

Analyze and model heteroskedastic behavior in financial time series.

Maintained by Georgi N. Boshnakov. Last updated 1 years ago.

fortran

7 stars 6.33 score 51 dependents

cran

ftsa:Functional Time Series Analysis

Functions for visualizing, modeling, forecasting and hypothesis testing of functional time series.

Maintained by Han Lin Shang. Last updated 1 months ago.

6 stars 4.61 score 10 dependents

nenuial

geographer:Geography Vizualisations

Provides function and objects to establish vizualisations for my Geography lessons.

Maintained by Pascal Burkhard. Last updated 1 months ago.

2 stars 3.08 score

tmoek

TempStable:A Collection of Methods to Estimate Parameters of Different Tempered Stable Distributions

A collection of methods to estimate parameters of different tempered stable distributions (TSD). Currently, there are seven different tempered stable distributions to choose from: Tempered stable subordinator distribution, classical TSD, generalized classical TSD, normal TSD, modified TSD, rapid decreasing TSD, and Kim-Rachev TSD. The package also provides functions to compute density and probability functions and tools to run Monte Carlo simulations. This package has already been used for the estimation of tempered stable distributions (Massing (2023) <arXiv:2303.07060>). The following references form the theoretical background for various functions in this package. References for each function are explicitly listed in its documentation: Bianchi et al. (2010) <doi:10.1007/978-88-470-1481-7_4> Bianchi et al. (2011) <doi:10.1137/S0040585X97984632> Carrasco (2017) <doi:10.1017/S0266466616000025> Feuerverger (1981) <doi:10.1111/j.2517-6161.1981.tb01143.x> Hansen et al. (1996) <doi:10.1080/07350015.1996.10524656> Hansen (1982) <doi:10.2307/1912775> Hofert (2011) <doi:10.1145/2043635.2043638> Kawai & Masuda (2011) <doi:10.1016/j.cam.2010.12.014> Kim et al. (2008) <doi:10.1016/j.jbankfin.2007.11.004> Kim et al. (2009) <doi:10.1007/978-3-7908-2050-8_5> Kim et al. (2010) <doi:10.1016/j.jbankfin.2010.01.015> Kuechler & Tappe (2013) <doi:10.1016/j.spa.2013.06.012> Rachev et al. (2011) <doi:10.1002/9781118268070>.

Maintained by Till Massing. Last updated 1 years ago.

1 stars 2.70 score 6 scripts

nenuial

geovizr:Support for Knitr (Quarto/Rmd)

Provide support functions for Quarto and Rmd documents.

Maintained by Pascal Burkhard. Last updated 1 months ago.

2.60 score 3 scripts

liqgroup

AssocTests:Genetic Association Studies

Some procedures including EIGENSTRAT (a procedure for detecting and correcting for population stratification through searching for the eigenvectors in genetic association studies), PCoC (a procedure for correcting for population stratification through calculating the principal coordinates and the clustering of the subjects), Tracy-Widom test (a procedure for detecting the significant eigenvalues of a matrix), distance regression (a procedure for detecting the association between a distance matrix and some independent variants of interest), single-marker test (a procedure for identifying the association between the genotype at a biallelic marker and a trait using the Wald test or the Fisher's exact test), MAX3 (a procedure for testing for the association between a single nucleotide polymorphism and a binary phenotype using the maximum value of the three test statistics derived for the recessive, additive, and dominant models), nonparametric trend test (a procedure for testing for the association between a genetic variant and a non-normal distributed quantitative trait based on the nonparametric risk), and nonparametric MAX3 (a procedure for testing for the association between a biallelic single nucleotide polymorphism and a quantitative trait using the maximum value of the three nonparametric trend tests derived for the recessive, additive, and dominant models), which are commonly used in genetic association studies. To cite this package in publications use: Lin Wang, Wei Zhang, and Qizhai Li. AssocTests: An R Package for Genetic Association Studies. Journal of Statistical Software. 2020; 94(5): 1-26.

Maintained by Lin Wang. Last updated 4 years ago.

1 stars 1.64 score 11 scripts

sandipgarai

WaveletMLbestFL:The Best Wavelet Filter-Level for Prepared Wavelet-Based Models

Four filters have been chosen namely 'haar', 'c6', 'la8', and 'bl14' (Kindly refer to 'wavelets' in 'CRAN' repository for more supported filters). Levels of decomposition are 2, 3, 4, etc. up to maximum decomposition level which is ceiling value of logarithm of length of the series base 2. For each combination two models are run separately. Results are stored in 'input'. First five metrics are expected to be minimum and last three metrics are expected to be maximum for a model to be considered good. Firstly, every metric value (among first five) is searched in every columns and minimum values are denoted as 'MIN' and other values are denoted as 'NA'. Secondly, every metric (among last three) is searched in every columns and maximum values are denoted as 'MAX' and other values are denoted as 'NA'. 'output' contains the similar number of rows (which is 8) and columns (which is number filter-level combinations) as of 'input'. Values in 'output' are corresponding 'NA', 'MIN' or 'MAX'. Finally, the column containing minimum number of 'NA' values is denoted as the best ('FL'). In special case, if two columns having equal 'NA', it has been checked among these two columns which one is having least 'NA' in first five rows and has been inferred as the best. 'FL_metrics_values' are the corresponding metrics values. 'WARIGAANbest' is the data frame (dimension: 1*8) containing different metrics of the best filter-level combination. More details can be found in Garai and others (2023) <doi:10.13140/RG.2.2.11977.42087>.

Maintained by Mr. Sandip Garai. Last updated 2 years ago.

1.00 score

sandipgarai

CompareMultipleModels:Finding the Best Model Using Eight Metrics Values

In statistical modeling, multiple models need to be compared based on certain criteria. The method described here uses eight metrics from 'AllMetrics' package. ‘input_df’ is the data frame (at least two columns for comparison) containing metrics values in different rows of a column (which denotes a particular model’s performance). First five metrics are expected to be minimum and last three metrics are expected to be maximum for a model to be considered good. Firstly, every metric value (among first five) is searched in every columns and minimum values are denoted as ‘MIN’ and other values are denoted as ‘NA’. Secondly, every metric (among last three) is searched in every columns and maximum values are denoted as ‘MAX’ and other values are denoted as ‘NA’. ‘output_df’ contains the similar number of rows (which is 8) and columns (which is number of models to be compared) as of ‘input_df’. Values in ‘output_df’ are corresponding ‘NA’, ‘MIN’ or ‘MAX’. Finally, the column containing minimum number of ‘NA’ values is denoted as the best column. ‘min_NA_col’ gives the name of the best column (model). ‘min_NA_values’ are the corresponding metrics values. ‘BestColumn_metrics’ is the data frame (dimension: 1*8) containing different metrics of the best column (model). ‘best_column_results’ is the final result (a list) containing all of these output elements. In special case, if two columns having equal 'NA', it will be checked among these two column which one is having least 'NA' in first five rows and will be inferred as the best. More details about 'AllMetrics' can be found in Garai (2023) <doi:10.13140/RG.2.2.18688.30723>.

Maintained by Mr. Sandip Garai. Last updated 2 years ago.

1.00 score