Highly comparative time-series analysis
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Updated
May 29, 2024 - MATLAB
Highly comparative time-series analysis
A framework for systemic risk valuation and analysis.
2018 UCR Time-Series Archive: Backward Compatibility, Missing Values, and Varying Lengths
Matlab implementation for k-Shape
A framework for historical volatility estimation and analysis.
A framework for detecting misreported returns in hedge funds.
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…
A package to compute and test the significance of linear dependence between multiple autocorrelated time series.
Generating time series from a range of dynamical systems
MATLAB script for efficiently computing values of permutation entropy from 1D time series in sliding windows
MATLAB scripts to create recurrence plots and to perform recurrence quantification analysis.
This repository contains a reading list of papers on Time Series Segmentation. This repository is still being continuously improved.
Matlab code for Time Series Domain Adaptation Problems
Key: time series analysis, forecasting of GDP growth, macroeconomic, Kalman-filtering techniques, and a dynamic factor model.
The abstract Heath-Jarrow-Morton model: Calibration and forecasting the US daily Treasury yield curve rates
Analysis code for connecting time-series properties of BOLD dynamics to connectivity properties using human fMRI and DWI data from HCP
A Framework for Leader Identification in Coordinated Activity
ML Estimation for Discrete Multivariate Vasicek Processes
Inverse theory including time series analysis, Fourier transforms, discrete derivatives
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