roam - Remote Objects with Active-Binding Magic

Provide helper functions for package developers to create active bindings that looks like data embedded in the package, but are downloaded from remote sources.

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4.60 score 2 stars 8 scripts 467 downloads

RRRR - Online Robust Reduced-Rank Regression Estimation

Methods for estimating online robust reduced-rank regression. The Gaussian maximum likelihood estimation method is described in Johansen, S. (1991) <doi:10.2307/2938278>. The majorisation-minimisation estimation method is partly described in Zhao, Z., & Palomar, D. P. (2017) <doi:10.1109/GlobalSIP.2017.8309093>. The description of the generic stochastic successive upper-bound minimisation method and the sample average approximation can be found in Razaviyayn, M., Sanjabi, M., & Luo, Z. Q. (2016) <doi:10.1007/s10107-016-1021-7>.

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4.18 score 3 stars 10 scripts 214 downloads

ycevo - Nonparametric Estimation of the Yield Curve Evolution

Nonparametric estimation of discount functions and yield curves from transaction data of coupon paying bonds. Koo, B., La Vecchia, D., & Linton, O. B. (2021) <doi:10.1016/j.jeconom.2020.04.014> describe an application of this package using the Center for Research in Security Prices (CRSP) Bond Data and document its implementation.

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cppopenmp

3.85 score 7 stars 4 scripts 151 downloads

flap - Forecast Linear Augmented Projection

The Forecast Linear Augmented Projection (flap) method reduces forecast variance by adjusting the forecasts of multivariate time series to be consistent with the forecasts of linear combinations (components) of the series by projecting all forecasts onto the space where the linear constraints are satisfied. The forecast variance can be reduced monotonically by including more components. For a given number of components, the flap method achieves maximum forecast variance reduction among linear projections.

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3.00 score 2 stars 2 scripts 232 downloads

lazybar - Progress Bar with Remaining Time Forecast Method

A simple progress bar showing estimated remaining time. Multiple forecast methods and user defined forecast method for the remaining time are supported.

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2.70 score 1 stars 185 downloads