###Damerau-Lenenshtein Distance An implementation of the DL distance, used to measure the "distance" (as defined by number of deletions, substitutions, transpositions and insertions) between two strings. I use it to detect swear words and their misspellings.
###Discrete Option Pricing Contains functions and classes to compute financial derivatives using discrete pricing theory. Mostly recursion.
###Discrete SDE Robust classes/methods to simulate stochastic differential equations using a discretization scheme. Includes Euler, Milstein and Second-Order scheme. To be implemented into PyProcess.
###Estimators Some useful estimators of regression and others.
###Machine Learning Scikit Learn Some scikit-learn-friendly machine learning classes.
###Monte Carlo A collection of tools to sample from a variety of distributions and evaluating integrals. Include bivariate copula sampling, markov chain monte carlo, and numerical integration (with variance reduction support).
###Multinomial Markov And Encoding Create a multinomial markov chain (plus some awesome sampling and conditional sampling algos) from encoded data. See my password analysis for a use and creation of it.
###Numerical Derivatives Compute the derivative of functions a points using discrete schemes. Has a great recursive solution to solving problem:
Given a multivariate CDF, how can I computationally, and efficiently, find its pdf?
This problem occurs in copula sampling often.
###Time Series Some time series helpers and utilities
###utils Some nice utils to have around.
Author: Cameron Davidson-Pilon camdp.com
Contact me at: cam.davidson.pilon@gmail.com @cmrndp