Multivariate data modelling with Copulas in Python

Examples of scheduled jobs estimating copulas at www.microprediction.org

Inference for Gaussian copula factor models and its application to causal discovery.

Python package for canonical vine copula trees with mixed continuous and discrete marginals

Matlab toolbox for canonical vine copula trees with mixed continuous and discrete marginals

The repo contains the main topics carried out in my master's thesis on operational risk. In particular, it is described how to implement the so called Loss Distribution Approach (LDA), which is considered the state-of-the-art method to compute capital charge among large banks.

Causal discovery from mixed data with missing values.

Portfolio credit risk modeling

Gumbel, Clayton, Frank, and Independence copula that use on Weibull distribution.

Copula-based Hidden Markov Model (HMM) to decode tactics in a football match. Final project for the Probabilistic Machine Learning course of the MSc degree in Data Science and Artificial Intelligence (DSAI), University of Trieste

Robust Estimation of Copulas by Maximum Mean Discrepancy

In this project, we predict the probability of occurrence of risk in the Indian territory, based on the historical data of precipitation and temperature between the years 1951 - 2015

Multivariate Environmental Statistics (BEE6300) R Code

The Quant Copula Playground is a Shiny application designed for everyone interested in exploring the dependencies between stock returns using various copula models. This application is inspired by seminal works in the field of copulas, particularly "An Introduction to Copulas" by Roger B. Nelsen.

Copula fitting in Python.

Simulation of Partition-of-Unity copulas in R, e.g. for the purpose of modeling risk or for the creation of synthetic data based on restricted datasets