copula

There are 78 repositories under copula topic.

  • TY-Cheng/torchvinecopulib

    A Python library for fitting and sampling vine copulas using PyTorch.

    Language:Python24315321

  • majianthu/pycopent

    Estimating Copula Entropy (Mutual Information), Transfer Entropy (Conditional Mutual Information), and the statistics for multivariate normality test and two-sample test, and change point detection in Python

    Language:Python1664033

  • DanielBok/copulae

    Multivariate data modelling with Copulas in Python

    Language:Jupyter Notebook15274628

  • maximenc/pycop

    Python library for multivariate dependence modeling with Copulas

    Language:Python11431622
  • Copulas.jl

    lrnv/Copulas.jl

    A fully `Distributions.jl`-compliant copula package

    Language:Julia10338810

  • tnagler/VineCopula

    Statistical inference of vine copulas

    Language:R95166034

  • dmey/synthia

    📈 🐍 Multidimensional synthetic data generation with Copula and fPCA models in Python

    Language:Python6431010

  • winstonll/COPOD

    Supplementary material for ICDM 20 paper "COPOD: Copula-Based Outlier Detection"

    Language:Python60339

  • asnelt/mixedvines

    Python package for canonical vine copula trees with mixed continuous and discrete marginals

    Language:Python47229

  • majianthu/copent

    R package for estimating copula entropy (mutual information), transfer entropy (conditional mutual information), and the statistic for multivariate normality test and two-sample test

    Language:R422010

  • vinecopulib/rvinecopulib

    R interface to the vinecopulib C++ library

    Language:C++3546810

  • vinecopulib/vinecopulib

    A C++ library for vine copula models (w/ interfaces to R + Python)

    Language:C++35513612

  • GustavoAlovisi/cvar_portfolio_optim

    ARMA-GARCH Mixture Copula Mean-CVaR portfolio optimization project.

    Language:R29116

  • PREP-NexT/global-drought-recovery

    Quantification of global drought recovery probability based on Vine Copula

    Language:Python16113

  • asnelt/MixedVineToolbox

    Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals

    Language:MATLAB15107

  • wgurecky/StarVine

    Tools to construct canonical and regular vines. StarVine can also be used as a bivariate copula fitting tool.

    Language:Python15373

  • veniarakelian/copula

    [Quantitative Finance 2019] Sovereign Risk Zones in Europe During and After the Debt Crisis

    Language:Python13102

  • Raymvp/HACSurv

    HACSurv: A Hierarchical Copula-based Approach for Survival Analysis with Dependent Competing Risks

    Language:Jupyter Notebook12100

  • bonartm/factorcopula

    R package for dependence modelling with factor copulas

    Language:R11205

  • diptavo/MultiSKAT

    MultiSKAT is an R-package focused at rare-variant analysis of continuous multiple phenotype data. This project contains the R-codes/functions (including an example dataset) to carry out the MultiSKAT tests.

    Language:R11151

  • tnagler/vinereg

    D-vine quantile regression

    Language:C++11246

  • safouaneelg/copulasimilarity

    Official implementation of the paper: "CSIM: A Copula-based similarity index sensitive to local changes for Image quality assessment"

    Language:Jupyter Notebook10210

  • WeijiaZhang24/DCSurvival

    Language:Jupyter Notebook10100

  • oezgesahin/vineclust

    Model-based clustering with vine copulas

    Language:R8212

  • rena95/Loss-Distribution-Approach

    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.

    Language:R7102

  • AlexisDerumigny/ElliptCopulas

    Inference of Elliptical Copulas and Elliptical Distributions

    Language:R4113

  • arriagajorge/Copula3dPlots

    A 3D Plot from copulas in python

    Language:Python4100

  • microprediction/microactors

    Examples of scheduled jobs estimating copulas at www.microprediction.org

    Language:Python42013

  • CoRE-Lab-UCF/MultiHazard-R-Package

    The MultiHazard R package provides tools for stationary multivariate statistical modeling such as of the joint distribution of MULTIple co-occurring HAZARDs.

    Language:R3101

  • feng-li/cdcopula

    Covariate-dependent copula models

    Language:R3201

  • majianthu/cpd

    Code for the paper "Change Point Detection with Copula Entropy based Two-Sample Test"

    Language:R3200

  • MalteKurz/pacotest

    R-package: Testing for Partial Copulas and the Simplifying Assumption in Vine Copulas

    Language:R32182

  • pratikdaga12/portfolio-risk-management

    This is a masters project completed by My Team & I the project is based portfolio risk management which calculated using Value at Risk and optimization of the portfolio using the best weights available

    Language:Jupyter Notebook3100

  • torrentg/ccruncher

    Portfolio credit risk modeling

    Language:C++3111

  • athammad/pbox

    pbox R package. Exploring multivariate spaces with Probability Boxes

    Language:R2100

  • jobstdavid/cvinereg

    C-vine copula based mean and quantile regression

    Language:C++2100