R-universe - wbnicholson (Will Nicholson)

BigVAR - Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with Structured Penalties.

Last updated

openblascpp

7.33 score 62 stars 1 dependents 116 scripts 871 downloads

DTMCPack - Suite of Functions Related to Discrete-Time Discrete-State Markov Chains

A series of functions which aid in both simulating and determining the properties of finite, discrete-time, discrete state markov chains. Two functions (DTMC, MultDTMC) produce n iterations of a Markov Chain(s) based on transition probabilities and an initial distribution. The function FPTime determines the first passage time into each state. The function statdistr determines the stationary distribution of a Markov Chain.

Last updated

1.89 score 33 scripts 2.3k downloads