Highly comparative time-series analysis
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Updated
May 31, 2024 - MATLAB
Highly comparative time-series analysis
This repository contains a reading list of papers on Time Series Segmentation. This repository is still being continuously improved.
ML Estimation for Discrete Multivariate Vasicek Processes
Signal Processing analysis of sender-receiver causal brain networks and modulator sites reveals the mechanism behing brain communication and neuromodulation.
MATLAB codes for paper: Tractable Maximum Likelihood Estimation for Latent Structure Influence Models with Applications to EEG & ECoG processing
Forecasting the Euro Area Yield Curve Using the Heath-Jarrow-Morton Model
Codes for preforming basic geostatistics
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…
Auto-correlation, Source wavelet estimation, Signal processing
Granger Causality (GC), Granger Isolation (GI) and Granger Autonomy (GA) for the assessment of bivariate causal and non-causal interactions in linear autoregressive processes.
Estimator of Subsidence Trend and Seasonality (ESTS): An open-source integrated framework and model that combines Seasonality and trend decomposition (STD), Geographically Weighted Regression (GWR) & Random Forest (RF) models for identifying and estimating the trend and seasonality in subsidence by only using groundwater (hydraulic head)
Matlab implementation for k-Shape
Code for the paper "Similarity Measure for Sparse Time Course Data Based on Gaussian Processes" by Z Liu and M Barahona, accepted at UAI 2021, https://arxiv.org/abs/2102.12342
A framework for systemic risk valuation and analysis.
MATLAB scripts to create recurrence plots and to perform recurrence quantification analysis.
Generalized Implementation of RNNs for Chaotic Time Series Prediction
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.
Analysis code for connecting time-series properties of BOLD dynamics to connectivity properties using human fMRI and DWI data from HCP
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