Highly comparative time-series analysis

This repository contains a reading list of papers on Time Series Segmentation. This repository is still being continuously improved.

A framework for financial systemic risk valuation and analysis.

Matlab implementation for k-Shape

2018 UCR Time-Series Archive: Backward Compatibility, Missing Values, and Varying Lengths

A framework for historical volatility estimation and analysis.

MATLAB script for efficiently computing values of permutation entropy from 1D time series in sliding windows

This code show the SVAR results from the paper: "Lutz Kilian, 2009. "Not All Oil Price Shocks Are Alike: Disentangling Demand and Supply Shocks in the Crude Oil Market," American Economic Review, vol. 99(3), pages 1053-1069, June. Specifically: Cholesky Decomposition, Structural Impulse Response, Historical Evolution of the Structural Shock, His…

Generating time series from a range of dynamical systems

A package to compute and test the significance of linear dependence between multiple autocorrelated time series.

A framework for detecting misreported returns in hedge funds.

Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.

MATLAB scripts to create recurrence plots and to perform recurrence quantification analysis.

Generalized Implementation of RNNs for Chaotic Time Series Prediction

Ensemble Empirical Mode Decomposition Significance Test

Matlab code for Time Series Domain Adaptation Problems

Auto-correlation, Source wavelet estimation, Signal processing

🔑Mathematical Contest in Modeling including The Summer Camp Training and The CUMCM2013 and The MCM2014

Analysis code for connecting time-series properties of BOLD dynamics to connectivity properties using human fMRI and DWI data from HCP

Granger Causality with Signal-dependent Noise