-
-
Notifications
You must be signed in to change notification settings - Fork 300
/
QuantEcon.jl
180 lines (145 loc) · 3.42 KB
/
QuantEcon.jl
1
2
3
4
5
6
7
8
9
10
11
12
13
14
15
16
17
18
19
20
21
22
23
24
25
26
27
28
29
30
31
32
33
34
35
36
37
38
39
40
41
42
43
44
45
46
47
48
49
50
51
52
53
54
55
56
57
58
59
60
61
62
63
64
65
66
67
68
69
70
71
72
73
74
75
76
77
78
79
80
81
82
83
84
85
86
87
88
89
90
91
92
93
94
95
96
97
98
99
100
101
102
103
104
105
106
107
108
109
110
111
112
113
114
115
116
117
118
119
120
121
122
123
124
125
126
127
128
129
130
131
132
133
134
135
136
137
138
139
140
141
142
143
144
145
146
147
148
149
150
151
152
153
154
155
156
157
158
159
160
161
162
163
164
165
166
167
168
169
170
171
172
173
174
175
176
177
178
179
180
module QuantEcon
import Base: show, isapprox
import Statistics: mean, std, var
using Markdown
using FFTW
using SpecialFunctions: erfc, logabsgamma
# 3rd party
using Distributions
import Distributions: pdf, skewness, BetaBinomial
using DSP: PolynomialRatio, freqresp
using Primes: primes
using StatsBase: ecdf
using Base.Iterators: cycle, take
using LinearAlgebra
using Random
using SparseArrays
import DSP: periodogram
# useful types
ScalarOrArray{T} = Union{T,Array{T}}
export
# arma
ARMA,
spectral_density, autocovariance, impulse_response, simulation,
# ecdf
ecdf,
# lqcontrol
LQ,
update_values!,
stationary_values!, stationary_values,
compute_sequence,
# compute_fp
compute_fixed_point,
# matrix_eqn
solve_discrete_lyapunov,
solve_discrete_riccati,
# discrete_rv
DiscreteRV,
draw,
# mc_tools
MarkovChain, MCIndSimulator, MCSimulator,
stationary_distributions,
simulate, simulate!, simulate_indices, simulate_indices!,
period, is_irreducible, is_aperiodic, recurrent_classes,
communication_classes, n_states,
discrete_var, Even, Quantile, Quadrature,
# modeltools
AbstractUtility, LogUtility, CRRAUtility, CFEUtility, EllipticalUtility,
derivative,
# gth_solve
gth_solve,
# markov_approx
tauchen,
rouwenhorst,
estimate_mc_discrete,
# lae
LAE,
lae_est,
# lqnash
nnash,
# lss
LSS,
simulate,
replicate,
moment_sequence,
stationary_distributions,
geometric_sums,
is_stable,
remove_constants,
# kalman
Kalman,
set_state!,
prior_to_filtered!,
filtered_to_forecast!,
update!,
stationary_values,
smooth,
compute_loglikelihood,
# distributions
BetaBinomial,
pdf, mean, std, var, skewness,
# estspec
smooth, periodogram, ar_periodogram,
# util
meshgrid, gridmake, gridmake!, ckron, is_stable, num_compositions,
simplex_grid, simplex_index, next_k_array!, k_array_rank,
# robustlq
RBLQ,
d_operator, b_operator,
robust_rule, robust_rule_simple,
F_to_K, K_to_F,
compute_deterministic_entropy,
evaluate_F,
# quad
qnwlege, qnwcheb, qnwsimp, qnwtrap, qnwbeta, qnwgamma, qnwequi, qnwnorm,
qnwunif, qnwlogn, qnwmonomial1, qnwmonomial2, qnwdist,
quadrect,
do_quad,
# quadsums
var_quadratic_sum,
m_quadratic_sum,
# random_mc
random_markov_chain, random_stochastic_matrix, random_discrete_dp,
# ddp
DiscreteDP, VFI, PFI, MPFI, solve, RQ_sigma,
evaluate_policy, bellman_operator, compute_greedy,
bellman_operator!, compute_greedy!, num_states, backward_induction,
# zeros / optimization
bisect, brenth, brent, ridder, expand_bracket, divide_bracket,
golden_method,
# interp
interp, LinInterp,
# sampler
MVNSampler,
# modeltools
@def_sim,
# filter
hp_filter,
hamilton_filter
include("sampler.jl")
include("util.jl")
include("interp.jl")
include("arma.jl")
include("compute_fp.jl")
include("markov/markov_approx.jl")
include("markov/mc_tools.jl")
include("markov/ddp.jl")
include("markov/random_mc.jl")
include("discrete_rv.jl")
include("ecdf.jl")
include("estspec.jl")
include("filter.jl")
include("kalman.jl")
include("lae.jl")
include("lqcontrol.jl")
include("lqnash.jl")
include("lss.jl")
include("matrix_eqn.jl")
include("robustlq.jl")
include("quad.jl")
include("quadsums.jl")
include("zeros.jl")
include("optimization.jl")
include("modeltools/utility.jl")
include("modeltools/types.jl")
end # module