R-universe - wbnicholson (Will Nicholson)

BigVAR - Dimension Reduction Methods for Multivariate Time Series

Estimates VAR and VARX models with Structured Penalties.

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openblascpp

6.40 score 62 stars 1 dependents 136 scripts 779 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.

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1.87 score 33 scripts 2.3k downloads