systemicrisk - Systemic Risk and Network Reconstruction
Analysis of risk through liability matrices. Contains a Gibbs sampler for network reconstruction, where only row and column sums of the liabilities matrix as well as some other fixed entries are observed, following the methodology of Gandy&Veraart (2016) <doi:10.1287/mnsc.2016.2546>. It also incorporates models that use a power law distribution on the degree distribution.
Last updated 11 months ago
cpp
3.88 score 5 stars 51 scripts 456 downloadssimctest - Safe Implementation of Monte Carlo Tests
Algorithms for the implementation and evaluation of Monte Carlo tests, as well as for their use in multiple testing procedures.
Last updated 5 months ago
3.85 score 2 dependents 39 scripts 803 downloadsspcadjust - Functions for Calibrating Control Charts
Calibration of thresholds of control charts such as CUSUM charts based on past data, taking estimation error into account.
Last updated 9 years ago
3.35 score 1 stars 37 scripts 257 downloadschopthin - The Chopthin Resampler
Resampling is a standard step in particle filtering and in sequential Monte Carlo. This package implements the chopthin resampler, which keeps a bound on the ratio between the largest and the smallest weights after resampling.
Last updated 8 years ago
cpp
1.00 score 3 scripts 531 downloads