Estimates latent class vector-autoregressive models via EM algorithm on time-series data for model-based clustering and classification. Includes model selection criteria for selecting the number of lags and clusters.
-
Updated
Jun 27, 2024 - R
Estimates latent class vector-autoregressive models via EM algorithm on time-series data for model-based clustering and classification. Includes model selection criteria for selecting the number of lags and clusters.
Forecasting superstore sales using advanced time series models in R
A Novel Methodology of Domain Wise feature selection approach which is capable of identifying the interrelationships by focusing on Domain-Wise feature selection. It ensures that correlated and similar features are considered together by grouping them in similar domains based on correlation values
Investment Analysis and Asset Mgmt, Time Series Analysis & Forecasting, Machine Learning in Finance & Causal Inference Methods
ML Estimation for Discrete Multivariate Vasicek Processes
Implementation of High-dimensional vector autoregression time series modeling via tensor decomposition, Di Wang, Yao Zheng, Heng Lian, Guodong Li. Written in JAX.
I investigate the Asymmetric Volatility Spillover Effects within and across six major International stock markets. United States, Canada, France, Germany, Italy & Japan
An R package for Bayesian Estimation of Structural Vector Autoregressive Models
Current repository depicts R usability for time series modeling. Number of scripts represents preprocessing time series, modeling AR, MA, ARIMA with seasonality, ARCH, GARCH, VAR, VECM including statistical testing process and robust check.
Time series preprocessing. (G)ARCH, VECM, VAR modeling on stock data.
Time Series Analysis of Macro Economic Parameters using Vector Auto Regression Model
GitHub repo for wealth and inequality modeling using VAR models as part of the Econometric Projects course at HU Berlin
Multivariate time series Vector Autoregression Model (VAR) on real world GDP and DPI (and some other indexes). Bayesian Structured Time Series (BSTS).
Predicting the Air Quality Index of 100+ counties across the USA
Masters Thesis Project on Media Prejudice
An econometrics vector autoregression model (VAR) for analysis of multivariate time series of macroeconomics phenomena. Python Jupyter notebook based model is presented here although other packages like R statistical programming language with R Studio could also be used.
Add a description, image, and links to the vector-autoregression-models topic page so that developers can more easily learn about it.
To associate your repository with the vector-autoregression-models topic, visit your repo's landing page and select "manage topics."