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6 followers · 2 following
  • University of Sussex
  • Brighton UK

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Achievement: Arctic Code Vault Contributor

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  1. CurVol CurVol Public

    An R package to estimate and forecast conditional volatility of functional time series sequences.

    R 3 1

  2. Correlation_Change Correlation_Change Public

    The programming code of the semi-parametric CUSUM tests for detecting changes in the conditional correlation structure of a multivariate dataset of interest.

    MATLAB

  3. Tail_Change Tail_Change Public

    The programming code for monitoring the stability of the tail behaviour of a time-series sequence of interest.

    R

  4. Panel_ChangeinMean Panel_ChangeinMean Public

    Detecting mean changes in high-dimensional panel data that both N and T allow to go to $\infty$.

    MATLAB 1