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introcopula

Introduction to dependence modelling with copula

jidt

JIDT: Java Information Dynamics Toolkit for studying information-theoretic measures of computation in complex systems

jmi

kernelgrangercausality

Code to evaluate nonlinear Granger causality using the kernel trick to reduce complexity

lcare-btu-hub

lg

Local Gaussian dsitributions: An R package

lgde

R-packgage containing the code for multivariate and conditional density estimation using the LGDE

localgaussspec

Local Gaussian spectral densities, estimation and interactive visualisation

logacd-ef

Modeling LogACD(p,q) Using Estimating Functions

longmemoryts

LongMemoryTS

markovctheil

A methodology based on Markov chains and dynamic entropy measures is proposed for measuring and forecasting the evolution of the inequality of financial risks

mastering_r_for_quantitative_finance

mfaces

Multivariate functional principal component analysis via fast covariance estimation for sparse functional data

mfbvar

R package for Mixed-Frequency Bayesian VARs

mgc-paper

MGC: multiscale graph correlation (pronounced "magic")

mif_bayesvar_tyrimas

Bajeso FAVAR-TVP modelio taikymas JAV ekoniminiams ir rinkos duomenims

mixturevar

msm

An R package for forecasting volatility, using the Markov Switching Multifractal model.

msmvsampen

Simple R Package for Multivariate Sample Entropy

msqr

Markov-Switching-Quantile-Regression

multiscalegrangercausality

evaluate Granger Causality at multiple scales with the State Space formulation

mvcwt

An R package for wavelet analysis of multivariate time series

neural-network-based-har-models

R code and Realized Volatility (RV) series set for fitting NN-based-HAR models to multinational RV series.

nonlinear_causality-test

npeet

Non-parametric Entropy Estimation Toolbox

npeet_lnc

local non-uniformity correction for mutual information estimation

oddball_threestimulus

PsychoPy code for experiment control, and Matlab analysis for the EEG data

paleo_supstat

super statistical analysis of the marine Phanerozoic fossil record

pdfetch

R package for retrieving public data

permutation-entropy

Python Codes for Computing Permutation Entropy