Pinned Repositories
AbidesMarkets.jl
Julia wrapper for ABIDES-Markets
annealed_flow_transport
CeMicrodata.jl
Pull data from the Consumer Expenditure (CE) Public Use Microdata (PUMD) into Julia
LimitOrderBookABC.jl
LTCC-Advanced-Computational-Methods-in-Statistics
Advanced LTCC course in Statistics - This course will provide an overview of Monte Carlo methods when used for problems in Statistics. After an introduction to simulation, its purpose and challenges, we will cover in more detail Importance Sampling, Markov Chain Monte Carlo and Sequential Monte Carlo. Whilst the main focus will be on the methodology and its relevance to applications, we will often mention relevant theoretical results and their importance for problems in practice.
MessyTimeSeries.jl
A Julia implementation of basic tools for time series analysis compatible with incomplete data.
MessyTimeSeriesOptim.jl
A Julia implementation of estimation and validation algorithms for time series compatible with incomplete data.
replication-hasenzagl-et-al-2020
Replication code for "A Model of the Fed's View on Inflation".
replication-pellegrino-2022-ensembles
replication-pellegrino-2022-hyperparameters
Elastic-net VARMA: hyperparameter optimisation, estimation and forecasting
fipelle's Repositories
fipelle/MessyTimeSeries.jl
A Julia implementation of basic tools for time series analysis compatible with incomplete data.
fipelle/replication-pellegrino-2022-hyperparameters
Elastic-net VARMA: hyperparameter optimisation, estimation and forecasting
fipelle/MessyTimeSeriesOptim.jl
A Julia implementation of estimation and validation algorithms for time series compatible with incomplete data.
fipelle/replication-hasenzagl-et-al-2020
Replication code for "A Model of the Fed's View on Inflation".
fipelle/LTCC-Advanced-Computational-Methods-in-Statistics
Advanced LTCC course in Statistics - This course will provide an overview of Monte Carlo methods when used for problems in Statistics. After an introduction to simulation, its purpose and challenges, we will cover in more detail Importance Sampling, Markov Chain Monte Carlo and Sequential Monte Carlo. Whilst the main focus will be on the methodology and its relevance to applications, we will often mention relevant theoretical results and their importance for problems in practice.
fipelle/replication-pellegrino-2022-ensembles
fipelle/CeMicrodata.jl
Pull data from the Consumer Expenditure (CE) Public Use Microdata (PUMD) into Julia
fipelle/AbidesMarkets.jl
Julia wrapper for ABIDES-Markets
fipelle/annealed_flow_transport
fipelle/LimitOrderBookABC.jl
fipelle/Metaprogramming_JuliaCon_2021
fipelle/stat-nlp-book
Interactive Lecture Notes, Slides and Exercises for Statistical NLP