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.
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cpp
3.97 score 5 stars 62 scripts 582 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.
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3.56 score 1 dependents 40 scripts 542 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.
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3.35 score 1 stars 37 scripts 194 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.
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cpp
1.00 score 3 scripts 602 downloads