Multivariate data modelling with Copulas in Python
-
Updated
Jun 18, 2024 - Jupyter Notebook
Multivariate data modelling with Copulas in Python
Python package for canonical vine copula trees with mixed continuous and discrete marginals
Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals
Inference for Gaussian copula factor models and its application to causal discovery.
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.
Robust Estimation of Copulas by Maximum Mean Discrepancy
Copula fitting in Python.
Examples of scheduled jobs estimating copulas at www.microprediction.org
Copula-based Hidden Markov Model (HMM) to decode tactics in a football match. Final project for the Probabilistic Machine Learning course of the MSc degree in Data Science and Artificial Intelligence (DSAI), University of Trieste
In this project, we predict the probability of occurrence of risk in the Indian territory, based on the historical data of precipitation and temperature between the years 1951 - 2015
Portfolio credit risk modeling
Causal discovery from mixed data with missing values.
Multivariate Environmental Statistics (BEE6300) R Code
The Quant Copula Playground is a Shiny application designed for everyone interested in exploring the dependencies between stock returns using various copula models. This application is inspired by seminal works in the field of copulas, particularly "An Introduction to Copulas" by Roger B. Nelsen.
Gumbel, Clayton, Frank, and Independence copula that use on Weibull distribution.
Simulation of Partition-of-Unity copulas in R, e.g. for the purpose of modeling risk or for the creation of synthetic data based on restricted datasets
Add a description, image, and links to the copula-models topic page so that developers can more easily learn about it.
To associate your repository with the copula-models topic, visit your repo's landing page and select "manage topics."