heavy-tails

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lucabarbaglia / t-VAR

Large t-Vector AutoRegressive models with volatility spillovers and networks. Code of the paper Barbaglia, Croux, Wilms (2020) "Volatility Spillovers in Commodity Markets: A Large t-Vector AutoRegressive Approach", Energy Economics.

network tvector-autoregressive volatility-spillovers heavy-tails

Updated Feb 18, 2021
R

gmgeorg / pylambertw

Star

pylambertw - sklearn interface to analyze and gaussianize heavy-tailed, skewed data

machine-learning statistics probabilistic-programming feature-engineering gaussianize normalizing-flows skewed-data heavy-tailed-distributions heavy-tails lambertw

Updated Apr 15, 2024
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